AMS Weekly Seminar | Martin Larsson

Location: Krieger 205

When: December 4th at 1:30 p.m.

Title: Testing by betting: the numeraire e-variable and reverse information projection

Abstract: Testing by betting is a recent approach to sequential (or online) statistical inference, drawing inspiration from finance. This approach naturally leads to the concept of an e-variable: a nonnegative sample statistic whose expected value is at most one if a given null hypothesis is true. This approach has been found to produce strong statistical error bounds and high statistical power in a wide range of applications. In this talk, I will introduce testing by betting and discuss how classical ideas from mathematical finance, in particular the numeraire portfolio, enable an optimality theory for e-variables that dramatically generalizes earlier work. Our results also lead to a duality theory that yields the so-called reverse information projection in complete generality. (Based on joint work with Wouter Koolen, Aaditya Ramdas, and Johannes Ruf.)

Zoom link: https://wse.zoom.us/j/93600407710?pwd=JBL8VsObRxX6MkhdjAUxCadqJDoZrZ.1