Exact and asymptotically robust permutation tests

DOI10.1214/13-AOS1090zbMATH Open1267.62064arXiv1304.5939OpenAlexW2059679882MaRDI QIDQ355084FDOQ355084

Authors: Eun Yi Chung, Joseph P. Romano 

Publication date: 24 July 2013

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: Given independent samples from P and Q, two-sample permutation tests allow one to construct exact level tests when the null hypothesis is P=Q. On the other hand, when comparing or testing particular parameters $heta$ of P and Q, such as their means or medians, permutation tests need not be level $alpha$, or even approximately level $alpha$ in large samples. Under very weak assumptions for comparing estimators, we provide a general test procedure whereby the asymptotic validity of the permutation test holds while retaining the exact rejection probability $alpha$ in finite samples when the underlying distributions are identical. The ideas are broadly applicable and special attention is given to the k-sample problem of comparing general parameters, whereby a permutation test is constructed which is exact level $alpha$ under the hypothesis of identical distributions, but has asymptotic rejection probability $alpha$ under the more general null hypothesis of equality of parameters. A Monte Carlo simulation study is performed as well. A quite general theory is possible based on a coupling construction, as well as a key contiguity argument for the multinomial and multivariate hypergeometric distributions.

Full work available at URL: https://arxiv.org/abs/1304.5939

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zbMATH Keywords

Behrens-Fisher problemcoupling

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Monte Carlo methods (65C05)

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