Multiple testing in generalized universal inference
Year: 2025
Type: article
Abstract: Compared to p-values, e-values provably guarantee safe, valid inference. Applications often require consideration of multiple hypotheses simultaneously, and tools for handling such cases using e-values can be found in the relevant literature. Standard e-value constructions, however, require distributional assumptions that may not be justifiable. This short paper demonstrates that, depending on the multiple testing context, the generalized universal inference framework is well-suited for use with the existing e-value merging and adjustment strategies to control frequentist error rates in multiple testing when the quantities of interest are minimizers of risk functions, thereby avoiding the need for certain distributional assumptions. We demonstrate the strong performance of this general approach in a simulation study involving significance testing in quantile regression.
Source: Statistics & Probability Letters
Authors: Neil Dey, Ryan Martin, Jonathan P. Williams
Institution: North Carolina State University
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: hybrid
Estimated APC paid: $3,180
Funder: National Science Foundation
OpenAlex ID: W7082657366