Optimized combination of independent or simultaneous e-values

Abstract

We show that a class of optimized e-value combinations, arising from a standard construction of e-processes, remains valid even when the tuning parameter is optimized based on the data. This result holds for independent e-values, and, more generally, for a new class called simultaneous e-variables, whose dependence structure lies between independence and sequential validity. We further propose an improved combination test for such e-values based on elementary symmetric polynomials.