Approximate minimax regret for conditionally similar tests

Andr\'es Aradillas Fern\'andez

Papers from arXiv.org

Abstract: We construct approximately minimax regret optimal tests in a scalar Gaussian instrumental variables experiment. This example shows how conditionally similar tests allow a novel approximation approach, allowing us to optimize weights over alternatives to minimize worst-case power regret. Stochastic mirror descent and averaging yield finite-iteration guarantees with exact conditional similarity. We establish bounds for exact and simulated powers and illustrate the procedure numerically. This initial algorithm shows how existing nearly-optimal test computation methods can be extended to include composite alternative hypothesis sets without the computational cost associated with maintaining size control.

Date: 2026-11
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