Randomly stopped sums: Models and psychological applications

Abstract

This paper describes an approach to modeling the sums of a continuous random variable over a number of measurement occasions when the number of occasions also is a random variable. A typical example is summing the amounts of time spent attending to pieces of information in an information search task leading to a decision to obtain the total time taken to decide. Although there is a large literature on randomly stopped sums in financial statistics, it is largely absent from psychology. The paper begins with the standard modeling approaches used in financial statistics, and then extends them in two ways. First, the randomly stopped sums are modeled as "life distributions" such as the gamma or log-normal distribution. A simulation study investigates Type I error rate accuracy and power for gamma and log-normal versions of this model. Second, a Bayesian hierarchical approach is used for constructing an appropriate general linear model of the sums. Model diagnostics are discussed, and three illustrations are presented from real datasets.