On the Performance of the SPRT for Correlation Coefficient: Normal and Mixtures of Normal Populations

Abstract The sequential probability ratio test (SPRT) for the correlation coefficient is examined in the normal and non‐normal situations. In the latter case, we evaluate the robustness of the normal procedure when sampling from the mixtures of normal distributions. Two models are introduced for this type of nonnormality. It is shown that in the case of moderate nonnormality, the normal procedure is robust while for extreme nonnormality, the normal procedure is not recommended.