Sequential testing for elicitable functionals via supermartingales

DOI10.3150/23-BEJ1634OpenAlexW4391458275WikidataQ128886106 ScholiaQ128886106MaRDI QIDQ6201853FDOQ6201853

Authors: Philippe Casgrain, Martin Larsson, Johanna F. Ziegel 

Publication date: 26 March 2024

Published in: Bernoulli (Search for Journal in Brave)

Abstract: We design sequential tests for a large class of nonparametric null hypotheses based on elicitable and identifiable functionals. Such functionals are defined in terms of scoring functions and identification functions, which are ideal building blocks for constructing nonnegative supermartingales under the null. This in turn yields sequential tests via Ville's inequality. Using regret bounds from Online Convex Optimization, we obtain rigorous guarantees on the asymptotic power of the tests for a wide range of alternative hypotheses. Our results allow for bounded and unbounded data distributions, assuming that a sub-$psi$ tail bound is satisfied.

Full work available at URL: https://arxiv.org/abs/2204.05680

zbMATH Keywords

online optimizationsequential statisticsanytime valid testingelicitable functionalsidentifiable functionals

Mathematics Subject Classification ID

Statistics (62-XX) Information and communication theory, circuits (94-XX)

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