Anytime-valid testing and confidence intervals in contingency tables and beyond
We develop sequential A/B tests with strict Type-I error control under optional stopping. Our tests are based on E-variables, which recently have turned out be successful tools for anytime-valid inference. We introduce a general method for constructing E-variables that can be used for A/B testing in 2-sample streams. In contrast to earlier methods developed in the sequential testing literature, our approach is valid for both balanced and unbalanced experiments and allows for arbitrary, user-specified notions of effect size. The same method can be used to design anytime-valid confidence sequences to estimate effect sizes in data streams. With two Bernoulli streams as a running example, we illustrate the power of our A/B test and show that decisions can often be made earlier compared to classical methods, such as Fisher's exact test. We also illustrate the confidence sequences with two different notions of effect size: log odds ratio and difference in mean.
|A/B Testing Workshop|
Turner, R.J, & Grünwald, P.D. (2022). Anytime-valid testing and confidence intervals in contingency tables and beyond.