Goethe-Universität — Johannes Ruf: The Numeraire E-Variable and Reverse Information Projection

Frankfurter Seminar - Kolloquium des Instituts für Mathematik

Ginkgo Seminar

Vorkolloquium für Doktoranden, Post-Docs und interessierte Studierende

An den jeweiligen Veranstaltungstagen wird mit dem Ginkgo-Seminar (Gingko - Grundlagen, Intuition, Neugier für und auf das Kolloquium) gestartet, einer exklusiven Veranstaltung von Doktoranden für Doktoranden, Post-Docs und interessierte Studierende.

Ziel ist es, die Vorträge "aus der anderen Ecke des Instituts" für alle Interessierten zugänglicher zu machen.

Das Vorkolloquium findet immer ab 15.00 (c.t.) in Raum 711 groß vor dem jeweiligen Vortrag statt.

Frankfurter Seminar

Nov 26 2025

16:45

Johannes Ruf: The Numeraire E-Variable and Reverse Information Projection

London School of Economics

A recent approach to statistical inference is based on the concept of an e-variable: a nonnegative sample statistic whose expected value is at most one if a given null hypothesis is true. This approach has been found to produce strong statistical error bounds and high statistical power and is easily extendible to sequential, or online, settings. E-variables admit a natural interpretation as the payoff of a financial bet.

In this talk I will discuss how classical ideas from mathematical finance, in particular the numeraire portfolio, enables an optimality theory for e-variables that significantly generalizes earlier results. Our results also lead to a duality theory which yields the so-called reverse information projection in complete generality.

Our work showcases the power of financial methods in a setting where information-theoretic tools have traditionally been preferred.

(Joint work with Martin Larsson and Aaditya Ramdas.)