At the Psychological Methods Discussion group, Ben Ambridge asked the following question:

Hi everyone - I was wondering (don’t worry, I haven’t actually done this!) what would be wrong statistically speaking with an approach where you run a frequentist t-test (or whatever) after adding each participant and stop testing participants when the p value has remained below 0.05 (or 0.001 or whatever) for - say - each of the last 20 participants. It feels like it must be wrong somehow, but why?

The thread, which contains several good comments, is here. Some of the replies mention simulations, but no simulations are actually presented. And that brings us to the purpose of this post, namely to run a small simulation study to asses what happens under Ben Ambridge’s scenario.

But first let’s understand the inuition behind this proposal. Consider a sequence of coin tosses. If the true probability of success is $$p$$, the probability of $$k$$ successes in a row is $$p^{k}$$. If $$p = 0.05$$, the probability of 20 consequtive successes equals $$0.05^{20} \approx 10^-26$$. So if we assume independence of the tests, a 20-ary streak gives us strong evidence against $$H_{0}$$.

The counterintuition is as follows. The sequence of estimators $$T_{i}$$ is not independent. It could take a long time to throw away already obtained information, so that $$T_{i}$$ and $$T_{j}$$ become approximately independent.

Notice that Ben’s problem can be understood in two ways:

1. Scenario A: The researcher decides in advance to collect at most $$n$$ samples. If she observes a streak in this sample, she pops the champagne. If she doesn’t observe a streak during the $$n$$ first samples, but her last computed test statistic is significant, she changes her mind and continues to sample for at most $$k-1$$ steps more ($$k = 20$$ in Ben’s example). If she obtains a significant streak in this extended sample, she pops the champagne.
2. Scenario B: The same thing, expect she will never sample more than $$n$$ participants.

Scenario A is the most plausible one. This is because scenario B makes it
possible to observe a $$k-1$$-streak in the original sample which the researcher wouldn’t be allowed to attempt to extend to a $$k$$-streak. And problems of this nature is the a big reason why people care about sequential testing.

So let’s say I have an $$n$$ denoting the maximal number of participants, a sequence of test statistics $$T_{n}$$, a p-value $$\alpha$$ (typically equal to $$0.05$$) and a sequence of cut-off values $$c_{\alpha}(n)$$ dependent on $$\alpha$$. My two questions are then:

1. What is the $$k_{n}$$ so that the probability of observing a streak of $$k$$ consecutive test statistics $$T_{i} > c_{\alpha}(i)$$ is less than or equal to $$\alpha$$ under Scenario A?
2. The same problem under Scenario B.

Since I can’t simulate every possible test statistic, I employ the usual trick and assume normality everywhere and always. Hence my test statistic is a $$z$$-statistic, and my underlying problem is testing of $$H_{0}: \mu = 0$$ against $$H_{0}: \mu > 0$$ for a normal population with known standard deviation equal to $$1$$. Finally, my $$p$$-value is $$0.05$$.

# Results

Results are more interesting than code. Also, graphs are more interesting than tables. So here are some graphs. Scroll down for the code.

### First graph: Linearity

The $$n$$s in this graph is the R vector 1:20*50 of evenly spaced natural numbers.

Recall the definition of $$k_{n}$$: For each $$n$$, it is the required streak length to ascertain a $$0.05$$ level of the resulting test. So what can we read from this graph?

1.) The relationship is linear for both scenarios! 2.) For scenario A, the slope is approximately $$\frac{1}{4}$$, which means that you will need a streak of length $$\frac{1}{5} \cdot n$$ to give the test a level of $$0.05$$. This is quite a lot. At least the proportion is smaller for scenario B.

### Second graph: Small ns

Maybe you’re worried that linearity doesn’t hold for small $$n$$s? That’s reasonable. So here’s a graph of $$n = \{1, 2, \cdots, 50\}$$:

The regression coefficients are slightly different now, and I suspects there’s some weak non-linearity at the start of the function $$k_{n}$$.

### Third graph: Probability of rejecting the null

Finally, here’s a graph of the probability of rejecting the null for different values of $$k$$. I’ve taken $$n = 100$$ here. $$H_{0}$$ is still true, and we want to find the true $$\alpha$$ for each $$k$$.

What does it tell? For one, a significance level of $$0.01$$ (the red dotted line) is out of reach for scenario A. This means that you can never use the ‘scenario A’ when aiming for this significance level. Scenario B is alright though. I haven’t checked this for any other $$n$$ than $$100$$.

# Simulating an answer in R

Here’s my simulation code. I start off with a helper function for calculating streaks in a boolean (logical) vector. The examples should help you understand what it does.

#' Find the cumulative maximal streak length in a vector of bools.
#'
#' @param bools Logical vector.
#' @return An integer vector. The \code{i}th element is the maximal streak
#' length in \code{x[1:i]}.
#' @example
#'     bools1 = c(FALSE, TRUE, FALSE, TRUE, TRUE, TRUE, FALSE)
#'     streaks(bools1) [1] 0 1 1 1 2 3 3
#'
#'     bools2 = c(FALSE, FALSE, TRUE, TRUE, TRUE, TRUE, FALSE, TRUE)
#'     streaks(bools2) [1] 0 1 2 3 4 4 4

streaks = function(bools) {
if(length(bools) == 0 | length(bools) == 1) return(as.integer(bools))

streaks = vector("integer", length(bools))
counter = as.integer(bools[[1]])
streaks[[1]] = counter

for(i in 2:length(bools)) {
if(bools[[i]]) {
counter = counter + 1
streaks[[i]] = max(streaks[[i - 1]], counter)
} else {
counter = 0
streaks[[i]] = streaks[[i - 1]]
}
}

streaks

}


The streaks function is used to find probabilities of rejecting the null inside the following function:

#' Simulate a compensating sequential design
#'
#' Finds the probability of falsly rejecting the null-hypothesis for a
#' compensating sequential design for each \code{k} from 1 to n.
#'
#' @param n The maximal number of attempts to obtain at a success.
#' @param scenario String; "A" for scenario A, "B" for scenario B.
#' @param N The number of simulations.
#' @param C One-sided cut-off value for the z-statistics. Defaults to ~ 1.64.
#' @return A n-ary vector of probabilites. The ith value is the probability
#' of rejecting the null-hypothesis when a streak of length n is demanded.

streak_stopping = function(n, N, C = qnorm(0.95), scenario = "A") {

checked = array(dim = c(N, n))

for(i in 1:N){
streak = streaks(cumsum(rnorm(2*n - 1, 0, 1))/sqrt(1:(2*n - 1)) > C)
if(scenario == "A") {
for(j in 1:n) {
checked[i, j] = if(streak[n + j - 1] >= j) 1 else 0
}
} else if(scenario == "B") {
for(j in 1:n) {
checked[i, j] = if(streak[n] >= j) 1 else 0
}
}
}

colMeans(checked)

}

To find the $$k_{n}$$s, I used this:

ks = sapply(ns, function(n) {
which(streak_stopping(n, N, scenario = "A") < 0.05)[1]
})

The source code for this document, written in bookdown, is available at Github. An R file reproducing the plots is here.