#anytime-valid

4 notes

• Anytime-Valid Inference Overview Game-theoretic statistics that resolves the "peeking" problem of fixed-sample hypothesis testing. The mathematical foundation for real-time monitoring of identification-validity drift.
• Anytime-Valid OPE Anytime-valid off-policy evaluation that provides time-uniform off-policy value confidence sequences valid at any stopping time; based on e-processes/confidence sequences.
• Confidence Sequence A confidence sequence (CS) $(C_t){t\ge1}$ is a sequence of confidence intervals with time-uniform coverage:
• e-process (e-value) An e-value $E$ is a nonnegative random variable with $EP[E]\le 1$ ($\forall P\in H0$) under the null $H0$. An e-process $(Et)$ is a nonnegative process such that $E\tau$ is an e-value at any stopping time $\tau$ ($E[E\tau]\le1$) — typically a nonnegative supermartingale under the null.…