Merging sequential e-values via martingales
Fuente:
arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2020
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| _version_ | 1866914688280821760 |
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| author | Vovk, Vladimir Wang, Ruodu |
| author_facet | Vovk, Vladimir Wang, Ruodu |
| contents | We study the problem of merging sequential or independent e-values into one e-value or e-process. We describe a class of e-value merging functions via martingales and show that it dominates all merging methods for sequential e-values. All admissible methods for constructing e-processes can also be obtained in this way. In the case of merging independent e-values, the situation becomes much more complicated, and we provide a general class of such merging functions based on martingales applied to reordered data. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2007_06382 |
| institution | arXiv |
| publishDate | 2020 |
| record_format | arxiv |
| spellingShingle | Merging sequential e-values via martingales Vovk, Vladimir Wang, Ruodu Statistics Theory 62F03, 62G10 (Primary) 62A01 (Secondary) We study the problem of merging sequential or independent e-values into one e-value or e-process. We describe a class of e-value merging functions via martingales and show that it dominates all merging methods for sequential e-values. All admissible methods for constructing e-processes can also be obtained in this way. In the case of merging independent e-values, the situation becomes much more complicated, and we provide a general class of such merging functions based on martingales applied to reordered data. |
| title | Merging sequential e-values via martingales |
| topic | Statistics Theory 62F03, 62G10 (Primary) 62A01 (Secondary) |
| url | https://arxiv.org/abs/2007.06382 |