Hi,
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).
http://www3.niaid.nih.gov/about/organization/dcr/BRB/staff/michael
Please let me know of any problems or if you have any comments.
Mike
******************************************************************
Michael P. Fay, PhD
Mathematical Statistician
National Institute of Allergy and Infectious Diseases
Tel: 301-451-5124 Fax:301-480-0912
(U.S. postal mail address)
6700B Rockledge Drive MSC 7609
Bethesda, MD 20892-7609
(Overnight mail address)
6700-A Rockledge Drive, Room 5133
Bethesda, MD 20817
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