Interactive rank testing by betting

Boyan Duan, Aaditya Ramdas, Larry Wasserman

Keywords: Covariate-Adjusted Wilcoxon, Interactive Rank Tests, Randomized Experiments

Abstract: In order to test if a treatment is perceptibly different from a placebo in a randomized experiment with covariates, classical nonparametric tests based on ranks of observations/residuals have been employed (eg: by Rosenbaum), with finite-sample valid inference enabled via permutations. This paper proposes a different principle on which to base inference: if --- with access to all covariates and outcomes, but without access to any treatment assignments --- one can form a ranking of the subjects that is sufficiently nonrandom (eg: mostly treated followed by mostly control), then we can confidently conclude that there must be a treatment effect. Based on a more nuanced, quantifiable, version of this principle, we design an interactive test called i-bet: the analyst forms a single permutation of the subjects one element at a time, and at each step the analyst bets toy money on whether that subject was actually treated or not, and learns the truth immediately after. The wealth process forms a real-valued measure of evidence against the global causal null, and we may reject the null at level $\alpha$ if the wealth ever crosses $1/\alpha$. Apart from providing a fresh "game-theoretic" principle on which to base the causal conclusion, the i-bet has other statistical and computational benefits, for example (A) allowing a human to adaptively design the test statistic based on increasing amounts of data being revealed (along with any working causal models and prior knowledge), and (B) not requiring permutation resampling, instead noting that under the null, the wealth forms a nonnegative martingale, and the type-1 error control of the aforementioned decision rule follows from a tight inequality by Ville. Further, if the null is not rejected, new subjects can later be added and the test can be simply continued, without any corrections (unlike with permutation p-values). Numerical experiments demonstrate good power under various heterogeneous treatment effects. We first describe the i-bet test for two-sample comparisons with unpaired data, and then adapt it to paired data, multi-sample comparison, and sequential settings; these may be viewed as interactive martingale variants of the Wilcoxon, Kruskal-Wallis, and Friedman tests.

Community Implementations: [ 1 code implementation](https://www.catalyzex.com/paper/arxiv:2009.05892/code)