A sequential two-sample test developed by stochastic simulation

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Abstract
Only a few sequential tests have been developed for the two-sample design common in clinical trials. By stochastic simulation, we have developed a new sequential test based on the Wilcoxon–Mann–Whitney two-sample test for fixed sample size. The development is based on a shift model of normal distributions. The resulting test can be used against both one-sided and two-sided alternatives. Formulas for calculating the parameters in the equations for the boundaries make it possible to choose significance level and power against specified alternatives. Simulation investigations of this sequential test show that it requires substantially fewer patients to reach a conclusion than the corresponding test for fixed sample size. Monte Carlo investigations of its robustness properties show that it is robust and approximately distribution free.

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