Importance sampling for estimating exact probabilities in permutational inference
Abstract
This article discusses importance sampling as an alternative to conventional Monte Carlo sampling for estimating exact signif-
icance levels in a broad class of two-sample tests, including all of the linear rank tests (with or without censoring), homogeneity
tests based on the chi-squared, hypergeometric, and likelihood ratio statistics, the Mantel-Haenszel trend test, and Zelen's
test for a common odds ratio in several 2 x 2 contingency tables. Inference is based on randomly selecting 2 x k contingency
tables from a reference set of all such tables with fixed marginals. Through a network algorithm, the tables are selected in
proportion to their importance for reducing the variance of the estimated Monte Carlo p-value. Spectacular gains, up to four
orders of magnitude, are achieved relative to conventional Monte Carlo sampling. The technique is illustrated on four real
data sets.
Collections
- Journal Articles [3697]