Journal Article
In sequential anytime-valid inference, any admissible procedure must be based on e-processes: generalizations of test martingales that quantify the accumulated evidence against a composite null hypothesis at any stopping time. This paper proposes a method for combining e-processes constructed in different filtrations but for the same null. Although e-processes in the same filtration can be combined effortlessly (by averaging), e-processes in different filtrations cannot because their validity in a coarser filtration does not translate to a finer filtration. This issue arises in sequential tests of randomness and independence, as well as in the evaluation of sequential forecasters. The authors establish that a class of functions called adjusters can lift arbitrary e-processes across filtrations. The result yields a generally applicable ‘adjust-then-combine’ procedure, which they demonstrate on the problem of testing randomness in real-world financial data. Furthermore, they prove a characterization theorem for adjusters that formalizes a sense in which using adjusters is necessary. There are two major implications. First, if they have a powerful e-process in a coarsened filtration, then they readily have a powerful e-process in the original filtration. Second, when they coarsen the filtration to construct an e-process, there is a logarithmic cost to recovering validity in the original filtration.
