Electronic Journal of Statistics

Sample size determination for group sequential test under fractional Brownian motion

Dejian Lai

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Many clinical trials are monitored through interim analysis. Group sequential tests are popular statistical tools for interim analysis. Sample size determination for interim analysis under group sequential setting is studied in comparing to the design without interim analysis. The effects on sample size determination were examined for both classic and fractional Brownian motion of the monitoring statistic. Selective results were obtained for two commonly used error spending functions with various conditions. The results showed that the drift parameter was generally smaller when $H>0.5$ under fractional Brownian motion and would lead to smaller sample sizes. The R code for carrying out the computation is also provided.

Article information

Electron. J. Statist., Volume 7 (2013), 1957-1967.

First available in Project Euclid: 18 July 2013

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Mathematical Reviews number (MathSciNet)

Zentralblatt MATH identifier

Primary: 60G10: Stationary processes 62C05: General considerations
Secondary: 60G18: Self-similar processes 60G15: Gaussian processes

Brownian Motion clinical trials fractional Brownian motion group sequential design hurst coefficient


Lai, Dejian. Sample size determination for group sequential test under fractional Brownian motion. Electron. J. Statist. 7 (2013), 1957--1967. doi:10.1214/13-EJS830. https://projecteuclid.org/euclid.ejs/1374153369

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