The New England Journal of Statistics in Data Science (NEJSDS) invites submissions to a special issue of “Game-theoretic Statistics and Safe Anytime-Valid Inference”, guest edited by Peter Grünwald (CWI and Leiden Univ.) and Aaditya Ramdas (Carnegie-Mellon Univ.)
This concerns an exciting new subfield that focuses on developing statistical inference procedures (like hypothesis tests and confidence sets) for experimental settings where the data may be continuously monitored as it arrives, the experiment may be adaptively stopped or extended for any reason, and yet the procedures must yield statistically valid inference at arbitrary data-dependent stopping times. This area has implications for automated experimentation in the IT industry, reproducibility of individual scientific studies as well as meta-analyses. E-values (or their sequential analog, e-processes) have emerged as a central concept in this area. They provide an alternative to p-values and other traditional notions of evidence for testing, with “confidence sequences” being their natural twin concept for estimation. These are intimately tied to nonnegative “test (super)martingales”, which can be viewed as wealth processes in certain games that the statistician plays against nature. In this world view, estimation and testing reduce to game and strategy design. This game-theoretic approach yields a philosophical and methodological middle ground between classical Bayesian and frequentist approaches, but also gives rise to new data-adaptive procedures with interesting properties - not just in a sequential setting but also, for example, in multiple testing problems. For the unfamiliar, an overview paper from July’22 has recently been posted on arXiv: https://arxiv.org/abs/2210.01948. Also, several talk slides, tutorials and paper links can be found at https://www.stat.cmu.edu/~aramdas/SAVI/savi20.html, from a week-long workshop on the topic that was organized by the guest editors in June’22. Key Dates:Papers should be submitted according to the following schedule: Manuscript Due: Anytime before March 1, 2023 Initial Decision Notification: Jul 1, 2023 Rebuttal Deadline: Oct 1, 2023 Final Decision Notification: Nov 1, 2023 Proofs to Publisher: Dec 1, 2023 Expected Publication: March 1, 2024 Editors-in-Chief: Ming-Hui Chen, University of Connecticut and Min-ge Xie, Rutgers University Lead guest editors: Aaditya Ramdas, Carnegie Mellon University and Peter Grünwald, CWI Amsterdam For full details, see https://journal.nestat.org/news/Game-theoretic_Statistics_and_Safe_Anytime-Valid_Inference
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