A note on data splitting with e-values: online appendix to my comment on Glenn Shafer's "Testing by betting"
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This note reanalyzes Cox's idealized example of testing with data splitting using e-values (Shafer's betting scores). Cox's exciting finding was that the method of data splitting, while allowing flexible data analysis, achieves quite high efficiencies, of about 80 that it involves splitting data at random, and so different people analyzing the same data may get very different answers. Using e-values instead of p-values remedies this disadvantage.
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