Related papers: Testing exchangeability by pairwise betting
We consider the problem of sequential multiple hypothesis testing with nontrivial data collection costs. This problem appears, for example, when conducting biological experiments to identify differentially expressed genes of a disease…
Exchangeability is a central notion in statistics and probability theory. The assumption that an infinite sequence of data points is exchangeable is at the core of Bayesian statistics. However, finite exchangeability as a statistical…
We study the sequential testing problem of two alternative hypotheses regarding an unknown parameter in an exponential family when observations are costly. In a Bayesian setting, the problem can be embedded in a Markovian framework. Using…
We study the problem of mismatched binary hypothesis testing between i.i.d. distributions. We analyze the tradeoff between the pairwise error probability exponents when the actual distributions generating the observation are different from…
This paper studies binary hypothesis testing based on measurements from a set of sensors, a subset of which can be compromised by an attacker. The measurements from a compromised sensor can be manipulated arbitrarily by the adversary. The…
We discuss the objectives of automation equipped with non-trivial decision making, or creating artificial intelligence, in the financial markets and provide a possible alternative. Intelligence might be an unintended consequence of…
This paper studies the question of filtering and maximizing terminal wealth from expected utility in a partially information stochastic volatility models. The special features is that the only information available to the investor is the…
We study the adversarial binary hypothesis testing problem in the sequential setting. Associated with each hypothesis is a closed, convex set of distributions. Given the hypothesis, each observation is generated according to a distribution…
We analyze the Gambler's problem, a simple reinforcement learning problem where the gambler has the chance to double or lose the bets until the target is reached. This is an early example introduced in the reinforcement learning textbook by…
We study stochastic evolution of optional games on simple graphs. There are two strategies, A and B, whose interaction is described by a general payoff matrix. In addition there are one or several possibilities to opt out from the game by…
We wish to test whether a real-valued variable $Z$ has explanatory power, in addition to a multivariate variable $X$, for a binary variable $Y$. Thus, we are interested in testing the hypothesis $\mathbb{P}(Y=1\, | \, X,Z)=\mathbb{P}(Y=1\,…
We adopt the interpretability offered by a parametric, Hawkes-process-inspired conditional probability mass function for the marks and apply variational inference techniques to derive a general and scalable inferential framework for marked…
Identifying cause-effect relations among variables is a key step in the decision-making process. While causal inference requires randomized experiments, researchers and policymakers are increasingly using observational studies to test…
Independence testing is a classical statistical problem that has been extensively studied in the batch setting when one fixes the sample size before collecting data. However, practitioners often prefer procedures that adapt to the…
Permutation tests are a powerful and flexible approach to inference via resampling. As computational methods become more ubiquitous in the statistics curriculum, use of permutation tests has become more tractable. At the heart of the…
The classic model of computable randomness considers martingales that take real or rational values. Recent work by Bienvenu et al. (2012) and Teutsch (2014) shows that fundamental features of the classic model change when the martingales…
We develop a martingale approach for studying continuous-time stochastic differential games of control and stopping, in a non-Markovian framework and with the control affecting only the drift term of the state-process. Under appropriate…
This study employs gamified experiments to investigate and refine the Schelling Model of Segregation, a framework that demonstrates how individual preferences can lead to systemic segregation. Using a movement selection algorithm derived…
This paper examines multiplayer symmetric constant-sum games with more than two players in a competitive setting, including examples like Mahjong, Poker, and various board and video games. In contrast to two-player zero-sum games,…
We present the winning strategy for the EVA2025 Data Challenge, which aimed to estimate the probability of extreme precipitation events. These events occurred at most once in the dataset making the challenge fundamentally one of…