Abstract
For a given data distribution $(X_t)_{t \in \mathbb{N}} \sim Q$ i.i.d., we investigate the hypothesis testing problem: $H_0: Q = P_0$ vs. $H_1: Q = P_1$, for two different model probability distributions $P_0$ and $P_1$. In contrast to the standard setting, where analytic densities $p_0$ and $p_1$ are given, here, we consider the density-free setting, where we only have access to i.i.d. simulations $(Z^0_t)_{t \in \mathbb{N}} \sim P_0$ and $(Z^1_t)_{t \in \mathbb{N}} \sim P_1$. For this simulation-based hypothesis testing setting, we construct an e-test martingale, resulting in a sequential test with anytime-valid type-I error guarantees, approximate growth optimality, geometrically decaying type-II error bounds, and asymptotic power one. Most ingredients used in our constructions are variants of well known concepts. The value of this paper lies in the compact presentation of an effective, anytime-valid solution for the density-free simulation-based sequential hypothesis testing case.
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Publication details
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Cite this article
APA 7
Forré, P., & Brenner, L. (2026). Anytime-valid simulation-based hypothesis testing. https://omanscience.com/en/articles/anytime-valid-simulation-based-hypothesis-testing
MLA 9
Forré, Patrick, and Lydia Brenner. "Anytime-valid simulation-based hypothesis testing." https://omanscience.com/en/articles/anytime-valid-simulation-based-hypothesis-testing.
Chicago (author–date)
Forré, Patrick, and Lydia Brenner. 2026. "Anytime-valid simulation-based hypothesis testing." https://omanscience.com/en/articles/anytime-valid-simulation-based-hypothesis-testing.
Harvard
Forré, P. and Brenner, L. (2026) 'Anytime-valid simulation-based hypothesis testing', Available at: https://omanscience.com/en/articles/anytime-valid-simulation-based-hypothesis-testing.
Vancouver
Forré P, Brenner L. Anytime-valid simulation-based hypothesis testing. https://omanscience.com/en/articles/anytime-valid-simulation-based-hypothesis-testing
IEEE
P. Forré, and L. Brenner, "Anytime-valid simulation-based hypothesis testing," https://omanscience.com/en/articles/anytime-valid-simulation-based-hypothesis-testing.