Statistical Tests: Asymptotic, Exact, ou based on Simulations?

This morning, in our mathematical statistics course, we’ve been discussing the ‘proportion test‘, i.e. given a sample of Bernoulli trials, with , we want to test

against 

A natural test (which can be related to the maximum likelihood ratio test) is  based on the statistic

The test function is here

To get the bounds of the acceptance region, we need the distribution of , under . Consider here a numerical application

n=20
p=.5
set.seed(1)
echantillon=sample(0:1,size=n,
            prob=c(1-p,p),
            replace=TRUE)
  • the asymptotic distribution

The first (and standard idea) is to use the central limit theorem, since

So, under ,

Then  while . The acceptance region is then between the two red lines, below,

T=sqrt(n)*(mean(echantillon)-.5)/
  sqrt(mean(echantillon)*
  (1-mean(echantillon)))
u=seq(-3,3,by=.01)
v=dnorm(u)
plot(u,v,type="l",lwd=2)
abline(v=qnorm(.025),col="red")
abline(v=qnorm(.975),col="red")
abline(v=T,col="blue")

  • the exact distribution

Here we use the fact that

Using transformation of the ‘density’, we can (at least numerically) compute the (exact) distribution of

 

u=seq(-3,3,by=.01)
v=sqrt(.5*(1-.5))*n*dbinom(round(
  (sqrt(.5*(1-.5))*u/sqrt(n)+.5)*n),
  size=n,prob=.5)/sqrt(n)

Here I used a round value, it guess it would be better with a floor function, but here the graph looks symmetric (which is something I like)

abline(v=sqrt(n)*(qbinom(.025,size=n,prob=.5)/n-.5)/sqrt(.5*(1-.5)),col="red")
abline(v=sqrt(n)*(qbinom(.975,size=n,prob=.5)/n-.5)/sqrt(.5*(1-.5)),col="red")
lines(u,v,type="s")

  • distribution based on Monte Carlo simulations

Probably more interesting, here we do not use the fact that we might know the distribution of the mean. We just generate random samples, under , and then compute ,

T=rep(NA,1000)
for(i in 1:1000){
x=sample(0:1,size=n,
         prob=c(1-.5,.5),
         replace=TRUE)
m=mean(x)
T[i]=(m-.5)/sqrt(m*(1-m))*sqrt(n)}
lines(density(T),lwd=2)
abline(v=quantile(T,.025),col="red")
abline(v=quantile(T,.975),col="red")


4 thoughts on “Statistical Tests: Asymptotic, Exact, ou based on Simulations?”

  1. That MonteCarlo has 1000 replications. With 9000 the shape of the distribution is, er, freaky.

  2. Hi,

    You set the seed to 1; this is not a good seed number,
    You get some strange results.
    Try a higher order prime number like 29 or 113.
    You will see that your results are different — specifically
    the 0.025 and 0.975 quantiles.

    Thanks,

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