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Department of Mathematical Sciences

Seminar Archives

On this page you can find information about seminars in this and previous academic years, where available on the database.

Statistics Seminars: Algorithms for the Implementation and Evaluation of Monte Carlo Tests

Presented by Axel Gandy, Imperial College

24 October 2011 14:00 in CM221

This talk presents two algorithms concerning Monte Carlo tests (such as a bootstrap or permutation test). The first implements Monte Carlo tests with a uniform bound on the resampling error. The second generates a conservative confidence interval of a specified length and coverage probability for the power of a Monte Carlo test. These are the first methods that achieve these aims for almost any Monte Carlo test. Previous research has mostly focused on obtaining as accurate a result as possible for a fixed computational effort, without a guaranteed precision. In the proposed algorithms, the computational effort is random and there is a guaranteed precision. For example, the second algorithms operates until a confidence interval can be constructed that meets the requirements of the user, in terms of length and coverage probability.

Contact Ian Jermyn for more information