A Short Note on P-Value Hacking

Nassim Nicholas Taleb

Papers from arXiv.org

Abstract: We present the expected values from p-value hacking as a choice of the minimum p-value among $m$ independents tests, which can be considerably lower than the "true" p-value, even with a single trial, owing to the extreme skewness of the meta-distribution. We first present an exact probability distribution (meta-distribution) for p-values across ensembles of statistically identical phenomena. We derive the distribution for small samples $2

Date: 2016-03, Revised 2018-01
New Economics Papers: this item is included in nep-ecm
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