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A new and flexible class of sharp asymptotic time-uniform confidence sequences

14 February 2025
Felix Gnettner
Claudia Kirch
ArXiv (abs)PDFHTML
Main:5 Pages
Bibliography:1 Pages
Abstract

Confidence sequences are anytime-valid analogues of classical confidence intervals that do not suffer from multiplicity issues under optional continuation of the data collection. As in classical statistics, asymptotic confidence sequences are a nonparametric tool showing under which high-level assumptions asymptotic coverage is achieved so that they also give a certain robustness guarantee against distributional deviations. In this paper, we propose a new flexible class of confidence sequences yielding sharp asymptotic time-uniform confidence sequences under mild assumptions. Furthermore, we highlight the connection to corresponding sequential testing problems and detail the underlying limit theorem.

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@article{gnettner2025_2502.10380,
  title={ A new and flexible class of sharp asymptotic time-uniform confidence sequences },
  author={ Felix Gnettner and Claudia Kirch },
  journal={arXiv preprint arXiv:2502.10380},
  year={ 2025 }
}
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