Abstract
We study the problem of merging sequential or independent e-values into one e-value or e-process. We describe a class of e-value merging functions via martingales and show that it dominates all merging methods for sequential e-values. All admissible methods for constructing e-processes can also be obtained in this way. In the case of merging independent e-values, the situation becomes much more complicated, and we provide a general class of such merging functions based on martingales applied to reordered data.
Original language | English |
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Pages (from-to) | 1185-1205 |
Number of pages | 21 |
Journal | Electronic Journal of Statistics |
Volume | 18 |
Issue number | 1 |
Early online date | 13 Mar 2024 |
DOIs | |
Publication status | Published - 2024 |
Keywords
- anytime validity
- betting scores
- e-processes
- admissibility
- merging functions