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Game-theoretic statistics and safe anytime-valid inference

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arxiv 2210.01948 v2 pith:PB4ZNQVA submitted 2022-10-04 math.ST cs.GTcs.ITmath.ITstat.MEstat.TH

classification math.STcs.GTcs.ITmath.ITstat.MEstat.TH
keywords savianytime-validgame-theoreticinferencemartingalesmeasuressafestopping
verification ladder T0 review T1 audit T2 compute T3 formal
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Safe anytime-valid inference (SAVI) provides measures of statistical evidence and certainty -- e-processes for testing and confidence sequences for estimation -- that remain valid at all stopping times, accommodating continuous monitoring and analysis of accumulating data and optional stopping or continuation for any reason. These measures crucially rely on test martingales, which are nonnegative martingales starting at one. Since a test martingale is the wealth process of a player in a betting game, SAVI centrally employs game-theoretic intuition, language and mathematics. We summarize the SAVI goals and philosophy, and report recent advances in testing composite hypotheses and estimating functionals in nonparametric settings.

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Cited by 3 Pith papers

Reviewed papers in the Pith corpus that reference this work. Sorted by Pith novelty score. Full citation record

  1. Risk-Limiting Audits for Parliamentary Majorities

    stat.AP 2026-07 accept novelty 6.0 of 10

    A parliamentary majority can be certified with far fewer inspected ballots than certifying every reported seat, using a product of seat-level anytime-valid e-processes and adaptive sampling.

  2. Prediction-Powered E-Values

    stat.ML 2025-02 conditional novelty 6.0 of 10

    A general recipe converts any e-value-based inference procedure into a prediction-powered one that needs far fewer expensive labels while keeping validity guarantees.

  3. Efficient Sequential Evaluation of Large Language Models

    stat.ML 2026-07 conditional novelty 5.0 of 10

    A confidence-sequence framework for sequentially estimating an LLM's average benchmark accuracy under adaptive question selection, with growth-oriented sampling rules that in practice often lose to uniform sampling.

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