On the Efficiency of Sequentially-Calculated Rank Tests.
BALLISTIC RESEARCH LABS ABERDEEN PROVING GROUND MD
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A sequentially-calculated rank test is defined whose asymptotic relative efficiency with respect to the standard two-sample rank test using the same score function is 34. The sequentially-calculated statistic can be computed more quickly than the standard version, so that in real-time applications e.g., signal processing the effective efficiency may be nearly 1.5. Moreover, the proposed statistic uses less temporary storage, and its evolution in time is observable without additional computation.
- Statistics and Probability