Testing exchangeability: Fork-convexity, supermartingales and e-processes

Suppose we observe an infinite series of coin flips X1,X2,…, and wish to sequentially test the null that these binary random variables are exchangeable. Nonnegative supermartingales (NSMs) are a workhorse of sequential inference, but we prove that they are powerless for this problem. First, utilizin...

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Bibliographic Details

Published in:	International journal of approximate reasoning Vol. 141; pp. 83 - 109
Main Authors:	Ramdas, Aaditya, Ruf, Johannes, Larsson, Martin, Koolen, Wouter M.
Format:	Journal Article
Language:	English
Published:	Elsevier Inc 01.02.2022
Subjects:	Anytime-valid sequential inference Composite Snell envelope Game-theoretic probability Method of mixtures Optional stopping Universal coding Universal coding Composite Snell envelope Anytime-valid sequential inference Method of mixtures Optional stopping Game-theoretic probability
ISSN:	0888-613X, 1873-4731
Online Access:	Get full text
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