Abstract: We give a brief review of the developments in several classical problems of sequential analysis and their applications to biomedicine, economics and engineering. Even though it can only focus on a limited number of topics, the review shows that sequential analysis is still a vibrant subject after six decades of continual development, with fresh ideas brought in from various fields of application and through interactions with other branches of statistics and probability. We conclude with some remarks on the opportunities and challenges ahead.
Key words and phrases: Change-point detection, multi-armed bandits, quality control, sequential point and interval estimation, sequential testing, stochastic approximation.