Rao-Blackwellized e-variables

Clicks: 11
ID: 332410
2026
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Abstract
Summary We show that for any concave utility, the expected utility of an e-variable can only increase after conditioning on a sufficient statistic, echoing the classic Rao-Blackwell theorem. The simplest form of the result has a straightforward proof using Jensen’s inequality, but we prove more sophisticated versions. We provide several applications of this insight, including a derivation of the log-optimal e-variable for testing the variance in a linear regression model.
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openalex_W4417531174 Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors D De Roos, B Chugg, P Grünwald, A Ramdas
Journal jurnal biometrika dan kependudukan
Year 2026
DOI
10.1093/biomet/asag061
URL
https://doi.org/10.1093/biomet/asag061
Keywords Keywords not found

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