Department of Mathematics
Improving p-value approximation and level accuracy of Monte Carlo tests by quasi-Monte Carlo methods
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.
Monte Carlo test, Quasi-Monte Carlo, Resampling, Sobol’ sequence
Source Publication Title
Communications in Statistics - Simulation and Computation
Taylor & Francis
Chiu, S., & Liu, K. (2019). Improving p-value approximation and level accuracy of Monte Carlo tests by quasi-Monte Carlo methods. Communications in Statistics - Simulation and Computation. Retrieved from https://repository.hkbu.edu.hk/hkbu_staff_publication/6974