Implements the product-form test martingale $$E_t = \prod_{r=1}^{t} (1 + \lambda_r \hat\delta_r)$$ for testing the strong null \(H_0^s(p, q): \delta_t \le 0\) for all t.
Arguments
- scores1
Numeric vector. Scores S(p_t, y_t) for forecaster 1.
- scores2
Numeric vector. Scores S(q_t, y_t) for forecaster 2.
- c_t
Numeric scalar or vector (same length as scores) of predictable bounds such that |scores1 - scores2| <= c_t / 2 almost surely at every step.
- lambda_t
Optional numeric vector of predictable betting fractions in
[0, 1/c_t]. IfNULL(default), uses the fixed fractionlambda_t = 1 / (2 * c_t).- clip_max
Numeric. Maximum e-process value before clipping. Default: 1e7.