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A simple sequential stopping rule for Monte Carlo Simulation
2006
IEEE Transactions on Communications
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In this paper, a sequential stopping rule for the estimation of a probability by means of Monte Carlo simulation is analyzed. ...
His current research interests include CDMA networks, teletraffic, and Monte Carlo methods. Dr. ...
Harremoës for providing some of the references, and J. Grajal for helpful discussions. ...
doi:10.1109/tcomm.2005.863780
fatcat:b44gohd7lzgrbdad4mj563vkxi
A better stopping rule for conventional statistical tests
1998
Behavoir research methods, instruments & computers
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The fixed-sample stopping rule achieves an alpha of .05 by having one statistical test and rejecting the null hypothesis when p < .05. A sequential stopping rule allows multiple statistical tests. ...
However, there is another type of stopping rule, called sequential stopping rules, which was first proposed by Wald in 1947. ...
Spacing leads to what is called a group sequential stopping rule (Pocock, 1977) . The results of a Monte Carlo simulation for spacing in COAST are presented in Table 3 . ...
doi:10.3758/bf03209488
fatcat:auczelrqcfaeloqbraljkt2cde
Page 692 of Behavior Research Methods Vol. 30, Issue 4
[page]
1998
Behavior Research Methods
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In a Monte Carlo simulation, a com¬ puter is used to generate scores with a given distribution. ...
A second goal was to construct a stopping rule that would be easy for researchers to use. ...
Choosing Interim Sample Sizes in Group Sequential Designs
[chapter]
2021
Studies in Health Technology and Informatics
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This manuscript investigates sample sizes for interim analyses in group sequential designs. ...
of early stopping. ...
Flournoy / Choosing Interim Sample Sizes in Group Sequential Designs ...
doi:10.3233/shti210043
pmid:34042870
fatcat:ue5jtqjvwrhslfaahjyzkq3fxi
Approximate confidence intervals after a sequential clinical trial comparing two exponential survival curves with censoring
1997
Journal of Statistical Planning and Inference
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Woodroofe/Journal of Statistical Planning and Injerence 63 (1997) 79 96 91 Table 3 Monte Carlo estimates of pr~,ro(z~l ~<z) for a truncated sequential probability ratio test for three allocation rules: ...
The accuracy of the method is illustrated by simulation results for several sequential tests and data-dependent allocation rules. @ 1997 Elsevier Science B.V. ...
Both authors' research for this paper was supported by the US National Science Foundation. ...
doi:10.1016/s0378-3758(96)00204-2
fatcat:y323wcxnazewhkqyp26rlxksn4
A simple method for implementing Monte Carlo tests
[article]
2019
arXiv
pre-print
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We consider a statistical test whose p-value can only be approximated using Monte Carlo simulations. ...
It has the same theoretical guarantee as SIMCTEST and, in many settings, similar stopping boundaries. As it is much simpler than other methods, CSM is a useful method for practical applications. ...
We introduce a simple sequential Monte Carlo testing procedure achieving (1) for any > 0, which we call the confidence sequence method (CSM). ...
arXiv:1611.01675v6
fatcat:jpbpigseunhirla3fvpx3ghdge
Page 6600 of Mathematical Reviews Vol. , Issue 90K
[page]
1990
Mathematical Reviews
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Monte Carlo results showing superiority of the proposed allocation rule over pairwise allocation are also given. Adam T. ...
The performance of the sequential detection procedure is in- vestigated under Hy as well as under H, regarding the reaction quickness by means of Monte Carlo simulation methods. ...
Sequential Monte Carlo multiple testing
2011
Bioinformatics
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Results: We here present MCFDR, a simple, novel algorithm for false discovery rate (FDR) modulated sequential Monte Carlo (MC) multiple hypothesis testing. ...
MC sampling is stopped either by sequential MC or based on a threshold on FDR. ...
ACKNOWLEDGEMENTS We thank Arnoldo Frigessi for very helpful comments and discussions. ...
doi:10.1093/bioinformatics/btr568
pmid:21998154
pmcid:PMC3223366
fatcat:w2hp5jt3zbdg3bq3fk4ebiquca
Page 4200 of Mathematical Reviews Vol. , Issue 81J
[page]
1981
Mathematical Reviews
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E. 81j:62160 A simple sequential criterion for testing a normal mean with unknown variance.
Comm. Statist. A—Theory Methods 9 (1980), no. 15, 1619-1624. ...
STATISTICS
Schriever, Karl-Heinz 81j:62161 A truncated vector-at-a-time procedure with a symmetrical stopping-rule for selecting the better of two binomial Rep. Statist. Appl. Res. Un. Japan. Sci. ...
A simple method for implementing Monte Carlo tests
2019
Computational statistics (Zeitschrift)
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We consider a statistical test whose p value can only be approximated using Monte Carlo simulations. ...
It has the same theoretical guarantee as SIMCTEST and, in many settings, similar stopping boundaries. As it is much simpler than other methods, CSM is a useful method for practical applications. ...
We introduce a simple sequential Monte Carlo testing procedure achieving (1) for any > 0, which we call the confidence sequence method (CSM). ...
doi:10.1007/s00180-019-00927-6
fatcat:tvswn4koqbb43nfao4o5766yde
Page 6365 of Mathematical Reviews Vol. , Issue 92k
[page]
1992
Mathematical Reviews
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The method invites empirical comparison with the Monte Carlo MLE of C. J. Geyer and E. A. Thompson [“Constrained Monte Carlo maximum likelihood for dependent data”, J. Roy. Statist. ...
The Kiefer-Weiss problem under consideration consists in finding a sequential probability ratio test (SPRT) for two simple hypotheses which minimizes the supremum of the expectation of the stopping time ...
Mixing and perfect sampling in one-dimensional particle systems
2018
Europhysics letters
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Numerical simulations indicate a cross-over towards O(N^2 log N) mixing for the sequential forward swap Metropolis algorithm, that we introduce here. ...
We study the approach to equilibrium of the event-chain Monte Carlo (ECMC) algorithm for the one-dimensional hard-sphere model. ...
Sampling, mixing, perfect sampling, stopping rules. -Ever since the 1950s [1] , Markov-chain Monte Carlo (MCMC) methods have ranked among the most versatile approaches in scientific computing. ...
doi:10.1209/0295-5075/124/20003
fatcat:x7zedjqdknbulhcav7jeuwi7ua
Bayesian Subset Simulation
2017
SIAM/ASA Journal on Uncertainty Quantification
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A key idea, as in the subset simulation algorithm, is to estimate the probabilities of a sequence of excursion sets of f above intermediate thresholds, using a sequential Monte Carlo (SMC) approach. ...
Mech. 2001) and our sequential Bayesian approach for the estimation of a probability of failure (Bect, Ginsbourger, Li, Picheny and Vazquez, Stat. Comput. 2012). ...
Sequential Monte Carlo simulation techniques. ...
doi:10.1137/16m1078276
fatcat:w675gbvozndvldxx7n5ofdgvrm
The Application of Sequential Estimation to Computer Simulation and Monte Carlo Procedures
1958
Journal of the ACM
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The Application of Sequential Estimation to Computer Simulation and Monte Carlo Procedures*
JACK MoSHMAN
Corporation for Economic and Industrial Research, Arlington, Virginia
:
(me general class of numerical ...
1res
lroblems attacked by simulation procedures, of which Monte Carlo con- stitutes a proper subclass, are generally of a highly complex nature with stochastic features that enter in various ways. ...
doi:10.1145/320941.320948
fatcat:5qrpdoab7vb2bpa7gc5vlyxw5y
An optimised multi-arm multi-stage clinical trial design for unknown variance
[article]
2017
arXiv
pre-print
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Here, we discuss an alternative method based on Monte Carlo simulation that allows the group size and stopping boundaries of a multi-arm multi-stage t-test to be optimised according to some nominated optimality ...
To allow for unknown variance, previous research explored the performance of t-test statistics, coupled with a quantile substitution procedure for modifying the stopping boundaries, at controlling the ...
A Monte Carlo based procedure was also proposed for two-armed group sequential trials [7] . In this paper, we extend it to MAMS trials. ...
arXiv:1710.03490v1
fatcat:oglp3bgbsrfrpasp2rkzjrtir4
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