A simple method for implementing Monte Carlo tests
File(s)Ding2019_Article_ASimpleMethodForImplementingMo.pdf (1.18 MB)
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Author(s)
Ding, D
Gandy, A
Hahn, G
Type
Journal Article
Abstract
We consider a statistical test whose p value can only be approximated using Monte Carlo simulations. We are interested in deciding whether the p value for an observed data set lies above or below a given threshold such as 5%. We want to ensure that the resampling risk, the probability of the (Monte Carlo) decision being different from the true decision, is uniformly bounded. This article introduces a simple open-ended method with this property, the confidence sequence method (CSM). We compare our approach to another algorithm, SIMCTEST, which also guarantees an (asymptotic) uniform bound on the resampling risk, as well as to other Monte Carlo procedures without a uniform bound. CSM is free of tuning parameters and conservative. It has the same theoretical guarantee as SIMCTEST and, in many settings, similar stopping boundaries. As it is much simpler than other methods, CSM is a useful method for practical applications.
Date Issued
2020-09-01
Date Acceptance
2019-10-09
ISSN
0943-4062
Publisher
Springer Science and Business Media LLC
Start Page
1373
End Page
1392
Journal / Book Title
Computational Statistics
Volume
35
Copyright Statement
© The Author(s) 2019. This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made.
License URI
Identifier
https://link.springer.com/article/10.1007%2Fs00180-019-00927-6
Subjects
Science & Technology
Physical Sciences
Statistics & Probability
Mathematics
Algorithm
Hypothesis testing
Monte Carlo
p value
ALGORITHM
01 Mathematical Sciences
08 Information and Computing Sciences
Statistics & Probability
Publication Status
Published
Date Publish Online
2019-10-19