QuickMMCTest:quick multiple Monte Carlo testing

Gandy, Axel and Hahn, Georg (2017) QuickMMCTest:quick multiple Monte Carlo testing. Statistics and Computing, 27 (3). pp. 823-832. ISSN 0960-3174

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Abstract

Multiple hypothesis testing is widely used to evaluate scientific studies involving statistical tests. However, for many of these tests, p values are not available and are thus often approximated using Monte Carlo tests such as permutation tests or bootstrap tests. This article presents a simple algorithm based on Thompson Sampling to test multiple hypotheses. It works with arbitrary multiple testing procedures, in particular with step-up and step-down procedures. Its main feature is to sequentially allocate Monte Carlo effort, generating more Monte Carlo samples for tests whose decisions are so far less certain. A simulation study demonstrates that for a low computational effort, the new approach yields a higher power and a higher degree of reproducibility of its results than previously suggested methods.

Item Type:
Journal Article
Journal or Publication Title:
Statistics and Computing
Additional Information:
© Springer Science+Business Media New York 2016. The final publication is available at Springer via http://dx.doi.org/10.1007/s11222-016-9656-z
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/1800/1804
Subjects:
ID Code:
89715
Deposited By:
Deposited On:
15 Jan 2018 11:56
Refereed?:
Yes
Published?:
Published
Last Modified:
24 Oct 2020 05:20