SEQUENTIAL MONTE-CARLO P-VALUES

The assessment of statistical significance by Monte Carlo simulation may be costly in computer time. This paper looks at a number of ways of calculating exact Monte Carlo p-values by sequential sampling. Such p-values are shown to have properties similar to those obtained by sampling with a fixed sample size. Both standard and generalized Monte Carlo procedures are discussed and, in particular, sequential method is proposed for dealing with situations in which values can only be conveniently generated using a Markov chain, conditioned to pass through the observed data.