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

[Fay, Michael (NIH/NIAID) [E]]

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

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Michael P. Fay, PhD
Mathematical Statistician
National Institute of Allergy and Infectious Diseases
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