Related papers: Power comparison of sequential testing by betting …
We propose procedures for testing whether stock price processes are martingales based on limit order type betting strategies. We first show that the null hypothesis of martingale property of a stock price process can be tested based on the…
We present a sequential testing method to identify a practically significant effect. We build on the existing mixture sequential probability ratio test (mSPRT) that can sequentially test for a non-zero treatment effect by using a truncated…
This paper derives confidence intervals (CI) and time-uniform confidence sequences (CS) for the classical problem of estimating an unknown mean from bounded observations. We present a general approach for deriving concentration bounds, that…
We consider the problem of simultaneous detection and estimation under a sequential framework. In particular we are interested in sequential tests that distinguish between the null and the alternative hypothesis and every time the decision…
This paper extends results of Mortimer and Williams (1991) about changes of probability measure up to a random time under the assumptions that all martingales are continuous and that the random time avoids stopping times. We consider…
We give a risk-averse solution to the problem of estimating the reliability of a parallel-series system. We adopt a beta-binomial model for components reliabilities, and assume that the total sample size for the experience is fixed. The…
We consider dynamic sublinear expectations (i.e., time-consistent coherent risk measures) whose scenario sets consist of singular measures corresponding to a general form of volatility uncertainty. We derive a c\`adl\`ag nonlinear…
Deciding termination is a fundamental problem in the analysis of probabilistic imperative programs. We consider the qualitative and quantitative probabilistic termination problems for an imperative programming model with discrete…
Novel significance tests are proposed for the quite general additive concurrent model formulation without the need of model, error structure preliminary estimation or the use of tuning parameters. Making use of the martingale difference…
In this paper, we develop invariance-based procedures for testing and inference in high-dimensional regression models. These procedures, also known as randomization tests, provide several important advantages. First, for the global null…
This paper proposes a new class of nonparametric tests for the correct specification of models based on conditional moment restrictions, paying particular attention to generalized propensity score models. The test procedure is based on two…
We continue study of conformal testing in binary model situations. In this note we consider Markov alternatives to the null hypothesis of exchangeability. We propose two new classes of conformal test martingales; one class is statistically…
In this paper, we consider the nonasymptotic sequential estimation of means of random variables bounded in between zero and one. We have rigorously demonstrated that, in order to guarantee prescribed relative precision and confidence level,…
We give a theory of sublinear expectations and martingales in discrete time. Without assuming the existence of a dominating probability measure, we derive the extensions of classical results on uniform integrability, optional stopping of…
This paper revisits the Lagrange multiplier type test for the null hypothesis of no cross-sectional dependence in large panel data models. We propose a unified test procedure and its power enhancement version, which show robustness for a…
We consider a nonlinear polynomial regression model in which we wish to test the null hypothesis of structural stability in the regression parameters against the alternative of a break at an unknown time. We derive the extreme value…
We develop e-values and e-processes testing the null hypothesis that a distribution over nonnegative integers is monotone, and that a distribution over integers is unimodal given a certain mode. Our e-processes lead to tests of power one…
We propose a novel nonparametric sequential test for composite hypotheses for means of multiple data streams. Our proposed method, \emph{peeking with expectation-based averaged capital} (PEAK), builds upon the testing-by-betting framework…
We present a unifying approach to multiple testing procedures for sequential (or streaming) data by giving sufficient conditions for a sequential multiple testing procedure to control the familywise error rate (FWER), extending to the…
Motivated by applications in biological science, we propose a novel test to assess the conditional mean dependence of a response variable on a large number of covariates. Our procedure is built on the martingale difference divergence…