A Bayesian sample size determination method with practical applications

S. K. Sahu and T. M. F. Smith

University of Southampton, UK
Summary. The problem motivating this article is the determination of sample size in clinical
trials under normal likelihoods and at the substantive testing stage of a financial audit where
normality is not an appropriate assumption. A combination of analytical and simulation based
techniques within the Bayesian framework is proposed. The framework accommodates two
different prior distributions: one is the general purpose fitting prior distribution used in Bayesian
analysis and the other is the expert subjective prior distribution, the sampling prior which is
believed to generate the parameter values which in turn generate the data. We obtain many
theoretical results and one key result is that typical non-informative prior distributions lead to
very small sample sizes. On the other hand, a very informative prior distribution may either
lead to a very small or a very large sample size depending on the location of the centre of the
prior distribution and the hypothesized value of the parameter. The methods developed here
are quite general and can be applied to other sample size determination (SSD) problems. A
number of numerical illustrations which bring out many other aspects of the optimum sample
size are given.
Keywords: Auditing; Bayesian inference; book values; clinical trials; fitting prior; mixture distribution; rare errors; simulation based approach; sampling prior; taints.

1. Introduction


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E-mail: S.K.Sahu@maths.soton.ac.uk

S. K. Sahu and T. M. F. Smith

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