相关论文: A note on data splitting with e-values: online app…

This note is my comment on Glenn Shafer's discussion paper "Testing by betting", together with two online appendices comparing p-values and betting scores.

Data splitting divides data into two parts. One part is reserved for model selection. In some applications, the second part is used for model validation but we use this part for estimating the parameters of the chosen model. We focus on the…

Shafer (2021) offers a betting perspective on statistical testing which may be useful for foundational debates, given that disputes over such testing continue to be intense. To be helpful for researchers, however, this perspective will need…

Multiple testing of a single hypothesis and testing multiple hypotheses are usually done in terms of p-values. In this paper we replace p-values with their natural competitor, e-values, which are closely related to betting, Bayes factors,…

Many statistical models require an estimation of unknown (co)-variance parameter(s) in a model. The estimation usually obtained by maximizing a log-likelihood which involves log determinant terms. In principle, one requires the…

Conformal prediction is a powerful framework for distribution-free uncertainty quantification. The standard approach to conformal prediction relies on comparing the ranks of prediction scores: under exchangeability, the rank of a future…

A recurring debate in the philosophy of statistics concerns what, exactly, should count as a measure of evidence for or against a given hypothesis. P-values, likelihood ratios, and Bayes factors all have their defenders. In this paper we…

Probability forecasts for binary events play a central role in many applications. Their quality is commonly assessed with proper scoring rules, which assign forecasts a numerical score such that a correct forecast achieves a minimal…

We introduce a testing-by-betting framework that leverages predictions on unlabeled data to enhance the power of sequential hypothesis testing. Given limited samples from the joint distribution of $(X,Y)$, and additional unlabeled samples…

We introduce a powerful deep classifier two-sample test for high-dimensional data based on E-values, called E-value Classifier Two-Sample Test (E-C2ST). Our test combines ideas from existing work on split likelihood ratio tests and…

We address the problem of testing conditional mean and conditional variance for non-stationary data. We build e-values and p-values for four types of non-parametric composite hypotheses with specified mean and variance as well as other…

A standard practice in statistical hypothesis testing is to mention the p-value alongside the accept/reject decision. We show the advantages of mentioning an e-value instead. With p-values, it is not clear how to use an extreme observation…

Assigning significance in high-dimensional regression is challenging. Most computationally efficient selection algorithms cannot guard against inclusion of noise variables. Asymptotically valid p-values are not available. An exception is a…

The vast availability of large scale, massive and big data has increased the computational cost of data analysis. One such case is the computational cost of the univariate filtering which typically involves fitting many univariate…

Hypothesis testing via e-variables can be framed as a sequential betting game, where a player each round picks an e-variable. A good player's strategy results in an effective statistical test that rejects the null hypothesis as soon as…

Gorman and Bedrick (2019) argued for using random splits rather than standard splits in NLP experiments. We argue that random splits, like standard splits, lead to overly optimistic performance estimates. We can also split data in biased or…

E-values have attracted considerable interest in recent years as flexible tools for enabling anytime-valid and adaptive data analysis. Hypothesis testing is at the core of many of these applications, which can often involve private or…

Sample splitting is widely used in statistical applications, including classically in classification and more recently for inference post model selection. Motivating by problems in the study of diet, physical activity, and health, we…

We consider the problem of providing valid inference for a selected parameter in a sparse regression setting. It is well known that classical regression tools can be unreliable in this context due to the bias generated in the selection…

We propose novel methodology for testing equality of model parameters between two high-dimensional populations. The technique is very general and applicable to a wide range of models. The method is based on sample splitting: the data is…