Sequential testing for elicitable functionals via supermartingales

DOI10.3150/23-bej1634arXiv2204.05680OpenAlexW4391458275WikidataQ128886106 ScholiaQ128886106MaRDI QIDQ6201853

Martin Larsson, Johanna F. Ziegel, Philippe Casgrain

Publication date: 26 March 2024

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2204.05680

zbMATH Keywords

online optimizationsequential statisticsanytime valid testingelicitable functionalsidentifiable functionals

Mathematics Subject Classification ID

Statistics (62-XX) Information and communication theory, circuits (94-XX)

Cites Work

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• Elicitation complexity of statistical properties
• Valid sequential inference on probability forecast performance
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• Sequential Tests of Statistical Hypotheses

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