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math.ST2025
Anytime-Valid Tests for Sparse Anomalies
Muriel F. Pérez-Ortiz, Rui M. Castro, Ivo V. Stoepker
We consider the problem of testing sequentially for the presence of sparse anomalies among a large number of data streams. To this end, we design and analyze Anytime-Valid (AV) tes…
math.ST2025
A Generalisation of Ville's Inequality to Monotonic Lower Bounds and Thresholds
Wouter M. Koolen, Muriel Felipe Pérez-Ortiz, Tyron Lardy
Essentially all anytime-valid methods hinge on Ville's inequality to gain validity across time without incurring a union bound. Ville's inequality is a proper generalisation of Mar…