Cost-Aware Generalized $lpha$-Investing for Multiple Hypothesis Testing
Published in Arxiv Pre-print (in submission), 2022
Recommended citation: @misc{cook2023costaware, title={Cost-aware Generalized $\alpha$-investing for Multiple Hypothesis Testing}, author={Thomas Cook and Harsh Vardhan Dubey and Ji Ah Lee and Guangyu Zhu and Tingting Zhao and Patrick Flaherty}, year={2023}, eprint={2210.17514}, archivePrefix={arXiv}, primaryClass={cs.LG} } https://arxiv.org/abs/2210.17514
This paper extends Generalized $\alpha$-Investing by providing an investment rule which also determines the ante, $\varphi_j$, and the sample size of a the test, $n_j$. This is done by solving a constrained optimization problem.
Recommended citation: T. Cook, H. V. Dubey, J. A. Lee, G. Zhu, T. Zhao, and P. Flaherty. Cost-aware generalized α-investing for multiple hypothesis testing. arXiv preprint arXiv:2210.17514, 2022.