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Optimal tests following sequential experiments
We develop methods for inference following sequential experiments by studying the asymptotic properties of tests. We find that the large-sample
power of any test can be matched by a test in a suitable limit-experiment involving Gaussian diffusions. This establishes that a fixed set of statistics are asymptotically sufficient for testing; these are the number of times each treatment has been sampled, and the final value of the score/efficient influence function process for each treatment. We also derive asymptotically optimal tests under various conditions and apply these findings to three types of sequential experiments: costly sampling, group sequential trials and bandit-experiments.
Date:
8 March 2024, 14:15
Venue:
Manor Road Building, Manor Road OX1 3UQ
Venue Details:
Seminar Room C or https://zoom.us/j/93054414699?pwd=YnpYaDhncCtWdGN0MUdJQ1NmRTlGZz09
Speaker:
Karun Adusumilli (University of Pennsylvania)
Organising department:
Department of Economics
Part of:
Nuffield Econometrics Seminar
Booking required?:
Not required
Audience:
Members of the University only
Editors:
Shreyasi Banerjee,
Edward Valenzano
