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math.ST2026
Aggregation with Exponential Weights is Optimal in Expectation
Mikael Møller Høgsgaard, Patrick Rebeschini, Tobias Wegel
The aggregation with exponential weights (AEW) estimator is not fully understood in the basic setting of model selection aggregation with squared loss. In particular, whether it is…
math.ST2026
Time-sensitive anytime-valid testing
Eugenio Clerico, Tobias Wegel, Iskander Azangulov +1
Anytime-valid tests allow evidence to be checked during data collection: one can either continue testing or stop and reject the null while still controlling type-I error. Yet, in m…
math.ST2025
Uniform mean estimation for monotonic processes
Eugenio Clerico, Hamish E Flynn, Patrick Rebeschini
We consider the problem of deriving uniform confidence bands for the mean of a monotonic stochastic process, such as the cumulative distribution function (CDF) of a random variable…