Merging sequential e-values via martingales

被引：1

作者：

Vovk, Vladimir ^{[1
]}

Wang, Ruodu ^{[2
]}

机构：

[1] Royal Holloway Univ London, Dept Comp Sci, Egham, Surrey, England

[2] Univ Waterloo, Dept Stat & Actuarial Sci, Waterloo, ON, Canada

来源：

ELECTRONIC JOURNAL OF STATISTICS | 2024年 / 18卷 / 01期

基金：

加拿大自然科学与工程研究理事会;

关键词：

Anytime validity; betting scores; e-processes; admissibility; merging functions;

D O I：

10.1214/24-EJS2228

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We study the problem of merging sequential or independent evalues 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 evalues, the situation becomes much more complicated, and we provide a general class of such merging functions based on martingales applied to reordered data.

引用

页码：1185 / 1205

页数：21

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