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arXiv · 2008.11474

A note on data splitting with e-values: online appendix to my comment on Glenn Shafer's "Testing by betting"

Vladimir Vovk
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Abstract

This note reanalyzes Cox's idealized example of testing with data splitting using e-values (Shafer's betting scores). Cox's exciting finding was that the method of data splitting, while allowing flexible data analysis, achieves quite high efficiencies, of about 80%. The most serious objection to the method was that it involves splitting data at random, and so different people analyzing the same data may get very different answers. Using e-values instead of p-values remedies this disadvantage.

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Vladimir Vovk. 2020-08-26. A note on data splitting with e-values: online appendix to my comment on Glenn Shafer's "Testing by betting". https://arxiv.org/abs/2008.11474

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