Truncated sequential Monte Carlo test with exact power.
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2018
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Abstract
Monte Carlo hypothesis testing is extensively used for statistical
inference. Surprisingly, despite the many theoretical advances in the field,
statistical power performance of Monte Carlo tests remains an open question.
Because the last assertion may sound questionable for some, the first goal in
this paper is to show that the power performance of truncated Monte Carlo
tests is still an unsolved question. The second goal here is to present a solution
for this issue, that is, we introduce a truncated sequential Monte Carlo
procedure with statistical power arbitrarily close to the power of the theoretical
exact test. The most significant contribution of this work is the validity of
our method for the general case of any test statistic.
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Citation
SILVA, I. R.; ASSUNÇÃO, R. M. Truncated sequential Monte Carlo test with exact power. Brazilian Journal of Probability and Statistics, v. 32, n. 2, p. 215-238, 2018. Disponível em: <https://projecteuclid.org/euclid.bjps/1523952013>. Acesso em: 19 nov. 2018.