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SPRT Fixed Length Confidence Intervals

Abstract In this paper we will present a method for constructing fixed length confidence intervals using Sequential Probability Ratio Tests (SPRT). We will see that under the conditions of monotone likelihood ratio and that the log likelihood function is concave as a function of the parameter, the set of parameters corresponding to null hypotheses that has not been rejected is an interval. We apply the SPRT fixed length confidence interval to a sequence of observations on a Bernoulli distributed random variable where we get a SPRT fixed length interval for the parameter p.