Latest Posts

• Sequential Probability Ratio Test Part 2
  How to prove that the stopping time is finite In the first post in this series we introduced the concept… Read more: Sequential Probability Ratio Test Part 2
• The Sequential Probability Ratio Test
  This will be the first post in a series of posts on the topic of sequential hypothesis testing. Specifically, these… Read more: The Sequential Probability Ratio Test
• The Markov chain approach to CUSUM
  Note: the code used to do the calculations in this post can be found here in the “change-point-detection” repository on… Read more: The Markov chain approach to CUSUM
• Online change point detection and CUSUM
  Note: the code used to generate the figures in this post can be found here in the “change-point-detection” repository on… Read more: Online change point detection and CUSUM
• Multiple hypothesis testing part 3: how to prove that the Benjamini-Hochberg method works
  In our last post we introduced the approach to the Multiple Comparisons Problem based on control of the false discovery… Read more: Multiple hypothesis testing part 3: how to prove that the Benjamini-Hochberg method works
• Multiple hypothesis testing part 2: the false discovery rate and the Benjamini-Hochberg method
  In the first post on this blog we introduced the Multiple Comparisons Problem (MCP), which is the increased risk of… Read more: Multiple hypothesis testing part 2: the false discovery rate and the Benjamini-Hochberg method
• Using data to bound the probability of a rare event
  Note: the code used to generate the numbers and figures in this post can be found here in the “rare-event-probability”… Read more: Using data to bound the probability of a rare event
• Chebyshev’s inequality with sample mean and sample variance
  In this post we’ll look at a very interesting fundamental result in statistics that deals with the following situation. Suppose… Read more: Chebyshev’s inequality with sample mean and sample variance
• A/B testing with small samples
  Note: the code used to generate the figures in this post can be found here in the “AB-testing-small-samples” repository on… Read more: A/B testing with small samples
• Multiple hypothesis testing and the Holm-Bonferroni method
  When testing multiple hypotheses at the same time, we must be careful when analyzing the results. A naive analysis of… Read more: Multiple hypothesis testing and the Holm-Bonferroni method