Let
x1,
x2, ... be i. i. d. with normal mean
θ and variance 1. For some function
Λ(
x), the non-linear process
Zn=
nΛ(
sn/
n),
sn=
x1+...+
xn, plays an important role in some sequential analyses. The stopping time
T=inf{
n≥1:
Zn≥
a} and the asymptotic distribution
Pθ{
ZT-
a≤
x} of
ZT-
a have been considered by Lai and Siegmund. This paper is concerned with the rate of convergence, which is shown to be of the order 0 (
a-1log
5a) as
a→∞.
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