Document Type

Journal Article

Department/Unit

Department of Mathematics

Title

Improving p-value approximation and level accuracy of Monte Carlo tests by quasi-Monte Carlo methods

Language

English

Abstract

We argue and show empirically that for the Monte Carlo test, if the pseudo-random numbers are replaced by a randomized low discrepancy sequence, the actual errors in approximating the p-value are smaller and the deviations of the exact level from the nominal level have higher potential to be smaller. Hence in real applications the proposed method, called randomized quasi-Monte Carlo test, is suggested to be used instead of the traditional Monte Carlo test.

Keywords

Monte Carlo test, Quasi-Monte Carlo, Resampling, Sobol’ sequence

Publication Date

2019

Source Publication Title

Communications in Statistics - Simulation and Computation

Publisher

Taylor & Francis

ISSN (electronic)

03610918

ISBN (print)

15324141

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