Hypothesis Testing in Sequentially Sampled Data: AdapRT to Maximize Power Beyond iid Sampling

05/05/2022
by   Dae Woong Ham, et al.
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Testing whether a variable of interest affects the outcome is one of the most fundamental problems in statistics. To tackle this problem, the conditional randomization test (CRT) is a design-based method that is widely used to test the independence of a variable of interest (X) with an outcome (Y) holding some controls (Z) fixed. The CRT relies solely on the random iid sampling of (X,Z) to produce exact finite-sample p-values that are constructed using any test statistic. We propose a new method, the adaptive randomization test (AdapRT), that similarly tackles the independence problem but allows the data to be sequentially sampled. Like the CRT, the AdapRT relies solely on knowing the (adaptive) sampling distribution of (X,Z). In this paper, we additionally show the significant power increase by adaptively sampling in two illustrative settings. We first showcase the AdapRT in a particular multi-arm bandit problem known as the normal-mean model. Under this setting, we theoretically characterize the powers of both the iid sampling scheme and the AdapRT and empirically find that the AdapRT can uniformly outperform the typical uniform iid sampling scheme that pulls all arms with equal probability. We also surprisingly find that the AdapRT can be more powerful than even the oracle iid sampling scheme when the signal is relatively strong. We believe that the proposed adaptive procedure is successful mainly because it stabilizes arms that may initially look like "fake" signal. We additionally showcase the AdapRT to a popular factorial survey design setting known as conjoint analysis and find similar results through both simulations and application. Lastly, we also provide a power analysis pipeline for practitioners to diagnosis the effectiveness of their proposed adaptive procedures and apply the pipeline to the two aforementioned settings.

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