研究数据提供者策略行为对假设检验误差的影响,给出可达到的最优错误率上限。
Sharp Results for Hypothesis Testing with Risk-Sensitive Agents
- 基于效用最大化的博弈框架建模数据提供者行为
- 证明贝叶斯假发现率有紧致上界,且在特定条件下可达
- 适用于监管机构、风控模型等需考虑人为干预的场景
统计协议常用于多方参与的决策,各方具有不同激励、私有信息及影响数据分布的能力。本文研究博弈论下的假设检验问题:统计学家(主事者)与可生成数据的战略性代理互动;代理根据自身效用和先验信息决定是否参与,其行为影响观测数据与检验误差。针对一般凹形且单调的效用函数,本文证明了贝叶斯假发现率(FDR)的上界。该上界源于一种先验信息揭示机制:代理选择参与即隐含其零假设先验概率的上界。该界在个体层面于单点取等,在群体层面于任意可数个点取等,不可改进。此外,当主事者效用被纳入考量时,测试协议展现出理想的极大极小性质。通过分析风险规避、奖励随机性、信噪比等因素,本文还揭示了对食品药品监督管理局测试流程的启示。
原文摘要 · Abstract (English)
Statistical protocols are often used for decision-making involving multiple parties, each with their own incentives, private information, and ability to influence the distributional properties of the data. We study a game-theoretic version of hypothesis testing in which a statistician, also known as a principal, interacts with strategic agents that can generate data. The statistician seeks to design a testing protocol with controlled error, while the data-generating agents, guided by their utility and prior information, choose whether or not to opt in based on expected utility maximization. This strategic behavior affects the data observed by the statistician and, consequently, the associated testing error. We analyze this problem for general concave and monotonic utility functions and prove an upper bound on the Bayes false discovery rate (FDR). Underlying this bound is a form of prior elicitation: we show how an agent's choice to opt in implies a certain upper bound on their prior null probability. Our FDR bound is unimprovable in a strong sense, achieving equality at a single point for an individual agent and at any countable number of points for a population of agents. We also demonstrate that our testing protocols exhibit a desirable maximin property when the principal's utility is considered. To illustrate the qualitative predictions of our theory, we examine the effects of risk aversion, reward stochasticity, and signal-to-noise ratio, as well as the implications for the Food and Drug Administration's testing protocols.
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