Test martingales, Bayes factors, and p-valuesстатья
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Дата последнего поиска статьи во внешних источниках: 18 июля 2013 г.
Аннотация:A nonnegative martingale with initial value equal to one measures the evidence against a
probabilistic hypothesis. The inverse of its value at some stopping time can be interpreted as a
Bayes factor. It can be shown that if we exaggerate the evidence by considering the largest
value attained so far by such a martingale, the exaggeration will not be great, and there are
systematic ways to eliminate it. The inverse of the exaggerated value at some stopping time can
be interpreted as a p-value.