[R] [R-pkgs] R package: Mchtest - Monte Carlo hypothesis testing allowing Sequential Stopping

From: Fay, Michael (NIH/NIAID) [E] <mfay_at_niaid.nih.gov>
Date: Wed, 06 Jun 2007 09:46:35 -0400


This is an announcement for a package that has been up on CRAN since March 2006 but was never announced.

The package is Mchtest - for Monte Carlo hypothesis tests allowing sequential stopping. The idea is to use the sequential probability ratio test boundaries to stop resampling for a Monte Carlo hypothesis test such as a bootstrap or permutation test. This means that you will take many samples when the p-value is close to the significance level (e.g., 0.05), but you may stop after a much fewer samples if it becomes clear that the p-value is either very likely to be less than or more than 0.05.

The details are described in:

		Fay, MP, Kim, H-J, and Hachey, M. (2007). "On using Truncated Sequential Probability Ratio Test Boundaries for Monte Carlo Implementation of Hypothesis Tests." (to appear in Journal of Graphical and Computational Statistics).  

Please let me know of any problems or if you have any comments.


Michael P. Fay, PhD
Mathematical Statistician
National Institute of Allergy and Infectious Diseases
Tel: 301-451-5124               Fax:301-480-0912

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