P-to-e calibrator

Converts anytime-valid p-values to e-values using the mixture or simple calibrator, as used in CR23 Section 4.4.

Usage

calibrate_p_to_e(p, strategy = "mixture", eps = 1e-16)

Arguments

p

Numeric vector of p-values in (0, 1].

strategy

Character. "mixture" (default, from Vovk & Wang 2021) or "simple". See Details for the formulas.

eps

Numeric. Numerical guard for log(0). Default: 1e-16.

Value

Numeric vector of e-values >= 0.

Details

Mixture calibrator (default, matches Python comparecast behaviour): $$f(p) = \frac{1 - p + p\log(p)}{p\,(\log p)^2}$$

Simple calibrator (strategy = "simple"): $$f(p) = \frac{1}{2\sqrt{p}}$$

Examples

p <- c(0.5, 0.1, 0.01)
calibrate_p_to_e(p)
#> [1] 0.6386739 1.2632108 4.4509923
calibrate_p_to_e(p, strategy = "simple")
#> [1] 0.7071068 1.5811388 5.0000000