Exact and asymptotically robust permutation tests

Abstract

Given independent samples from $P$ and $Q$, two-sample permutation tests allow one to construct exact level tests when the null hypothesis is $P=Q$. On the other hand, when comparing or testing particular parameters $\theta$ of $P$ and $Q$, such as their means or medians, permutation tests need not be level $\alpha$, or even approximately level $\alpha$ in large samples. Under very weak assumptions for comparing estimators, we provide a general test procedure whereby the asymptotic validity of the permutation test holds while retaining the exact rejection probability $\alpha$ in finite samples when the underlying distributions are identical. The ideas are broadly applicable and special attention is given to the $k$-sample problem of comparing general parameters, whereby a permutation test is constructed which is exact level $\alpha$ under the hypothesis of identical distributions, but has asymptotic rejection probability $\alpha$ under the more general null hypothesis of equality of parameters. A Monte Carlo simulation study is performed as well. A quite general theory is possible based on a coupling construction, as well as a key contiguity argument for the multinomial and multivariate hypergeometric distributions.