Combining Evidence Across Filtrations

arXiv:2402.09698v1 Announce Type: cross
Abstract: In anytime-valid sequential inference, it is known that any admissible inference procedure must be based on test martingales and their composite generalization, called e-processes, which are nonnegative processes whose expectation at any arbitrary stopping time is upper-bounded by one. An e-process quantifies the accumulated evidence against a composite null hypothesis over a sequence of outcomes. This paper studies methods for combining e-processes that are computed using different information sets, i.e., filtrations, for a null hypothesis. …

abstract arxiv cs.lg evidence hypothesis inference math.pr math.st null process processes stat.me stat.ml stat.th test type