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Tim Hesterberg has effectively argued for a larger role for resampling based inference in introductory statistics courses (and statistical practice more generally). While the Central Limit Theorem is a glorious result, and the Student t-test remarkably robust, there are subtleties that Hesterberg, Jones and others have pointed out that are not always well understood.

In this entry, we explore the robustness of the Student one sample t-test in terms of coverage probabilities where we look whether the alpha level is split evenly between the two tails.

R
We begin by defining a function to carry out the simulation study.

```runsim = function(FUNCTION=rnorm, n=20, numsim=100000,
label="normal")
{
missupper = numeric(numsim)
misslower = numeric(numsim)
for (i in 1:numsim) {
x = FUNCTION(n)
testval = t.test(x)
missupper[i] = testval\$conf.int < 0
misslower[i] = testval\$conf.int > 0
}
cat("n=", n,", number of simulations=", numsim, sep="")
cat(", (true data are ", label, ")\n", sep="")
cat(round(100*sum(missupper)/numsim, 1),
"% of simulations had CI below the true value.\n", sep="")
cat(round(100*sum(misslower)/numsim, 1),
"% of simulations had CI above the true value.\n", sep="")
}
```

We can define three functions to explore: one where the data are actually normally distributed (so the central limit theorem doesn’t need to be invoked), a symmetric distribution (where the central limit theorem can be used with smaller sample sizes) and a skewed distribution (where the central limit theorem requires very large sample sizes).

```reallynormal = function(n) { return(rnorm(n)) }
symmetric = function(n) { return(runif(n, -1, 1)) }
skewed = function(n) { return(rexp(n, 1) - 1) }
```

The results (at least to us) are somewhat startling. To get the tail probabilities correct when the underlying distribution is actually skewed, we need a huge sample size:

```> runsim(reallynormal, n=20, label="normal")
n=20, number of simulations=1e+05, (true data are normal)
2.5% of simulations had CI below the true value.
2.5% of simulations had CI above the true value.

> runsim(symmetric, n=20, label="symmetric")
n=20, number of simulations=1e+05, (true data are symmetric)
2.6% of simulations had CI below the true value.
2.5% of simulations had CI above the true value.

> runsim(skewed, n=20, label="skewed")
n=20, number of simulations=1e+05, (true data are skewed)
7.7% of simulations had CI below the true value.
0.6% of simulations had CI above the true value.

> runsim(skewed, n=100, label="skewed")
n=100, number of simulations=1e+05, (true data are skewed)
4.5% of simulations had CI below the true value.
1.2% of simulations had CI above the true value.

> runsim(skewed, n=500, label="skewed")
n=500, number of simulations=1e+05, (true data are skewed)
3.4% of simulations had CI below the true value.
1.7% of simulations had CI above the true value.
```

SAS

In the SAS version, we’ll write a macro that first generates all of the data, then uses by processing to perform the t tests, and finally tallies the results and prints them to the output.

```%macro simt(n=20, numsim=100000, myrand=normal(0), label=normal);
data test;
do sim = 1 to &numsim;
do i = 1 to &n;
x = &myrand;
output;
end;
end;
run;

ods select none;
ods output conflimits=ttestcl;
proc ttest data=test;
by sim;
var x;
run;
ods select all;

data _null_;
set ttestcl end=last;
retain missupper 0 misslower 0;
missupper = missupper + (upperclmean lt 0);
misslower = misslower + (lowerclmean gt 0);
if last then do;
missupper_pct = compress(round(100 * missupper/&numsim,.1));
misslower_pct = compress(round(100 * misslower/&numsim,.1));
file print;
put "n=&n, number of simulations = &numsim, true data are &label";
put missupper_pct +(-1) "% of simulations had CI below the true value";
put misslower_pct +(-1) "% of simulations had CI above the true value";
end;
run;
%mend simt;
```

Two or three features of this code bear commenting. First, the retain statement and end option allow us to count the number of misses without an additional data step and/or procedure. Next, the file print statement redirects the results from a put statement to the output, rather than the log. While this is not really needed, the output is where we expect the results to appear. Finally, the odd +(-1) in the final two put statements moves the column pointer back one space. This allows the percent sign to immediately follow the number.

The various distributions and sample sizes used in the R code can be called as follows:

```%simt(numsim=100000, n = 20, myrand = normal(0));
%simt(numsim=100000, n = 20, myrand = (2 * uniform(0)) - 1, label=symmetric);
%simt(numsim=100000, n = 20, myrand = (ranexp(0) - 1), label=skewed);
%simt(numsim=100000, n = 100, myrand = (ranexp(0) - 1), label=skewed);
%simt(numsim=100000, n = 500, myrand = (ranexp(0) - 1), label=skewed);
```

where the code to generate the desired data is passed to the macro as a character string. The results of
%simt(numsim=100000, n = 100, myrand = (ranexp(0) - 1), label=skewed);
are

```n=100, number of simulations = 100000, true data are skewed
4.5% of simulations had CI below the true value
1.2% of simulations had CI above the true value
```

which agrees nicely with the R results above.

We look forward to Tim’s talk at the JSM. 