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arXiv · 2007.06382

Merging sequential e-values via martingales

Vladimir Vovk·Ruodu Wang
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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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Vladimir Vovk, Ruodu Wang. 2020-07-13. Merging sequential e-values via martingales. https://arxiv.org/abs/2007.06382

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