Finite-sample bounds to the normal limit under group sequential sampling

Julian Aronowitz; Jay Bartroff

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arXiv · 2302.06782

Finite-sample bounds to the normal limit under group sequential sampling

Julian Aronowitz·Jay Bartroff

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Abstract

In group sequential analysis, data is collected and analyzed in batches until pre-defined stopping criteria are met. Inference in the parametric setup typically relies on the limiting asymptotic multivariate normality of the repeatedly computed maximum likelihood estimators (MLEs), a result first rigorously proved by Jennison and Turbull (1997) under general regularity conditions. In this work, using Stein's method we provide optimal order, non-asymptotic bounds on the distance for smooth test functions between the joint group sequential MLEs and the appropriate normal distribution under the same conditions. Our results assume independent observations but allow heterogeneous (i.e., non-identically distributed) data. We examine how the resulting bounds simplify when the data comes from an exponential family. Finally, we present a general result relating multivariate Kolmogorov distance to smooth function distance which, in addition to extending our results to the former metric, may be of independent interest.

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Julian Aronowitz, Jay Bartroff. 2023-02-14. Finite-sample bounds to the normal limit under group sequential sampling. https://arxiv.org/abs/2302.06782

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