Adaptive Neyman Allocation
Jinglong Zhao · 2024
Why are field experiments usually conducted with half-treated and half-control? One answer, dating back to Neyman (1934), is that experimenters usually believe the treated and control groups to have the same level of variability. When the treated and control groups have different levels of variability, such as an intervention in a social experiment triggers heterogeneity or even polarization of the outcomes, the seminal work of Neyman (1934) recommends an unequal allocation: the sizes of the treated and control groups should be proportional to their respective standard deviations. This approach has later on been recognized as "Neyman allocation."