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 |
|---|---|
| Pages (from-to) | 1185 |
| Number of pages | 26 |
| Journal | Electronic Journal of Statistics |
| Volume | 18 |
| Issue number | 1 |
| Publication status | Accepted/In press - 19 Feb 2024 |
Keywords
- anytime validity
- betting scores
- e-processes
- admissibility
- merging functions