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Merging sequential e-values via martingales
Published 13 Jul 2020 in math.ST and stat.TH | (2007.06382v3)
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.
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