Beyond Neyman-Pearson: e-values enable hypothesis testing with a data-driven alpha
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arXiv
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| Natura: | Preprint |
| Pubblicazione: |
2022
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| _version_ | 1866916189963288576 |
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| author | Grünwald, Peter |
| author_facet | Grünwald, Peter |
| contents | A standard practice in statistical hypothesis testing is to mention the p-value alongside the accept/reject decision. We show the advantages of mentioning an e-value instead. With p-values, it is not clear how to use an extreme observation (e.g. p $\ll α$) for getting better frequentist decisions. With e-values it is straightforward, since they provide Type-I risk control in a generalized Neyman-Pearson setting with the decision task (a general loss function) determined post-hoc, after observation of the data -- thereby providing a handle on `roving $α$'s'. When Type-II risks are taken into consideration, the only admissible decision rules in the post-hoc setting turn out to be e-value-based. Similarly, if the loss incurred when specifying a faulty confidence interval is not fixed in advance, standard confidence intervals and distributions may fail whereas e-confidence sets and e-posteriors still provide valid risk guarantees. Sufficiently powerful e-values have by now been developed for a range of classical testing problems. We discuss the main challenges for wider development and deployment. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2205_00901 |
| institution | arXiv |
| publishDate | 2022 |
| record_format | arxiv |
| spellingShingle | Beyond Neyman-Pearson: e-values enable hypothesis testing with a data-driven alpha Grünwald, Peter Methodology A standard practice in statistical hypothesis testing is to mention the p-value alongside the accept/reject decision. We show the advantages of mentioning an e-value instead. With p-values, it is not clear how to use an extreme observation (e.g. p $\ll α$) for getting better frequentist decisions. With e-values it is straightforward, since they provide Type-I risk control in a generalized Neyman-Pearson setting with the decision task (a general loss function) determined post-hoc, after observation of the data -- thereby providing a handle on `roving $α$'s'. When Type-II risks are taken into consideration, the only admissible decision rules in the post-hoc setting turn out to be e-value-based. Similarly, if the loss incurred when specifying a faulty confidence interval is not fixed in advance, standard confidence intervals and distributions may fail whereas e-confidence sets and e-posteriors still provide valid risk guarantees. Sufficiently powerful e-values have by now been developed for a range of classical testing problems. We discuss the main challenges for wider development and deployment. |
| title | Beyond Neyman-Pearson: e-values enable hypothesis testing with a data-driven alpha |
| topic | Methodology |
| url | https://arxiv.org/abs/2205.00901 |