Test statistics and p-values

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Yuri Gurevich, Vladimir Vovk ;
Proceedings of the Eighth Symposium on Conformal and Probabilistic Prediction and Applications, PMLR 105:89-104, 2019.

Abstract

We point out that the traditional notion of test statistic is too narrow, even for the purpose of conformal prediction. The most natural generalization of the traditional notion happens to be too wide. We propose another natural generalization which is arguably the widest reasonable generalization. The study is restricted to simple statistical hypotheses.

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