Test and the City: Navigating Sequential Testing

Peeking and early stop is one of the most common mistakes companies do across the board. Fortunately, sequential testing in the Frequentist approach allows it while maintaining control over false positive rates. In the latest A/B Talks by Statsig, me and Michael Makris discussed what is sequential testing, the importance of sequential testing in A/B testing, why it's more appropriate than using the Bayesian approach for peeking and early stop, pros and cons of group sequential tests vs. mSPRT and real-world applications of sequential tests.

Key takeaways:

Sequential testing allows continuous monitoring of AB tests, enabling data-driven decisions without the risk of inflating the false positive rate, ensuring the integrity of statistical inferences. It empowers efficient experimentation by reducing time-to-decision, facilitating agile responses to significant findings while maintaining statistical rigor.

The choice between mSPRT and group sequential testing hinges on specific needs: mSPRT offers flexibility for continuous monitoring, while group sequential testing provides higher power but necessitates pre-defined maximum sample size.

Implementing sequential testing can lead to a substantial reduction in test duration, with average reductions ranging from 20% to 70%, depending on the specific test and data characteristics.

While sequential testing enhances efficiency, it's essential to acknowledge the trade-off involving wider confidence intervals, potentially impacting the precision of effect size estimation.