R. de Heide

Where Does the Union Bound Go? Best-Arm Identification and Strong FWER Control

In fixed-confidence best-arm identification, proofs often use a union bound across the competing arms. From a multiple-testing point of view this can look puzzling: if the best arm is unique, only one hypothesis of the form ``arm $i$ is best''can be true. Why then should there be a Bonferroni-type factor of $K-1$? The...