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Confidence sequences, anytime p-values (called p-processes in this paper), and e-processes all enable sequential inference for composite and nonparametric classes of distributions at arbitrary stopping times.
Étude Critique de la Notion de Collectif
J Ville · 1939
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Sequential tests of statistical hypotheses
Abraham Wald · 1945
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Sequential Analysis
Abraham Wald · 1947
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Confidence sequences for mean, variance, and median
D. A. Darling and Herbert Robbins · 1967
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Student’s t t -Test Under Symmetry Conditions
Bradley Efron · 1969
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Statistical methods related to the law of the iterated logarithm
Herbert Robbins · 1970
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The expected sample size of some tests of power one
Herbert Robbins and David Siegmund · 1974
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On Confidence Sequences
Tze Leung Lai · 1976
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A General Class of Exponential Inequalities for Martingales and Ratios
Victor H. de la Peña · 1999
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Conditional essential suprema with applications
E. N. Barron, P. Cardaliaguet, and R. Jensen · 2003
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Stochastic Finance , volume 27 of De Gruyter Studies in Mathematics
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