A New Method for Constructing Exact Tests without Making any Assumptions

• Autores: Karl Schlag
• Localización: Working Papers ( Universitat Pompeu Fabra. Departamento de Economía y Empresa ), Nº. 1109, 2008
• Idioma: inglés
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• Resumen

  • We present a new method for constructing exact distribution-free tests (and confidence intervals) for variables that can generate more than two possible outcomes. This method separates the search for an exact test from the goal to create a non- randomized test. Randomization is used to extend any exact test relating to means of variables with finitely many outcomes to variables with outcomes belonging to a given bounded set. Tests in terms of variance and covariance are reduced to tests relating to means. Randomness is then eliminated in a separate step. This method is used to create confidence intervals for the difference between two means (or variances) and tests of stochastic inequality and correlation.