Related papers: Switching Cost Models as Hypothesis Tests
In model-based reinforcement learning, simulated experiences from the learned model are often treated as equivalent to experience from the real environment. However, when the model is inaccurate, it can catastrophically interfere with…
The advantages of adaptive experiments have led to their rapid adoption in economics, other fields, as well as among practitioners. However, adaptive experiments pose challenges for causal inference. This note suggests a BOLS (batched…
For a regression problem with a binary label response, we examine the problem of constructing confidence intervals for the label probability conditional on the features. In a setting where we do not have any information about the underlying…
This article considers the pricing and hedging of a call option when liquidity matters, that is, either for a large nominal or for an illiquid underlying asset. In practice, as opposed to the classical assumptions of a price-taking agent in…
The intelligent reformulation or restructuring of a belief network can greatly increase the efficiency of inference. However, time expended for reformulation is not available for performing inference. Thus, under time pressure, there is a…
After rejecting the null hypothesis in the analysis of variance, the next step is to make the pairwise comparisons to find out differences in means. The purpose of this paper is threefold. The foremost aim is to suggest expression for…
We consider the impulse control of Levy processes under the infinite horizon, discounted cost criterion. Our motivating example is the cash management problem in which a controller is charged a fixed plus proportional cost for adding to or…
This paper studies the value of switching actions in the Prediction From Experts (PFE) problem and Adversarial Multi-Armed Bandits (MAB) problem. First, we revisit the well-studied and practically motivated setting of PFE with switching…
We extend conformal prediction methodology beyond the case of exchangeable data. In particular, we show that a weighted version of conformal prediction can be used to compute distribution-free prediction intervals for problems in which the…
This article presents methods for estimating extreme probabilities, beyond the range of the observations. These methods are model-free and applicable to almost any sample size. They are grounded in order statistics theory and have a wide…
Hypothesis testing in the linear regression model is a fundamental statistical problem. We consider linear regression in the high-dimensional regime where the number of parameters exceeds the number of samples ($p> n$). In order to make…
Statistical hypothesis testing, as formalized by 20th Century statisticians and taught in college statistics courses, has been a cornerstone of 100 years of scientific progress. Nevertheless, the methodology is increasingly questioned in…
Bayesian inference is widely used in many different fields to test hypotheses against observations. In most such applications, an assumption is made of precise input values to produce a precise output value. However, this is unrealistic for…
This paper deals with belief base revision that is a form of belief change consisting of the incorporation of new facts into an agent's beliefs represented by a finite set of propositional formulas. In the aim to guarantee more reliability…
Testing between hypotheses, when independent sampling is possible, is a well developed subject. In this paper, we propose hypothesis tests that are applicable when the samples are obtained using Markov chain Monte Carlo. These tests are…
We present a model describing the competition between information transmission and decision making in financial markets. The solution of this simple model is recalled, and possible variations discussed. It is shown numerically that despite…
To perform inference after model selection, we propose controlling the selective type I error; i.e., the error rate of a test given that it was performed. By doing so, we recover long-run frequency properties among selected hypotheses…
We extend the model of Multi-armed Bandit with unit switching cost to incorporate a metric between the actions. We consider the case where the metric over the actions can be modeled by a complete binary tree, and the distance between two…
We consider active learning under incentive compatibility constraints. The main application of our results is to economic experiments, in which a learner seeks to infer the parameters of a subject's preferences: for example their attitudes…
This paper considers inference for conditional moment inequality models using a multiscale statistic. We derive the asymptotic distribution of this test statistic and use the result to propose feasible critical values that have a simple…