Near-Optimal Non-Parametric Sequential Tests and Confidence Sequences with Possibly Dependent Observations

arXiv:2212.14411v3 Announce Type: replace-cross
Abstract: Sequential tests and their implied confidence sequences, which are valid at arbitrary stopping times, promise flexible statistical inference and on-the-fly decision making. However, strong guarantees are limited to parametric sequential tests that under-cover in practice or concentration-bound-based sequences that over-cover and have suboptimal rejection times. In this work, we consider \cite{robbins1970boundary}'s delayed-start normal-mixture sequential probability ratio tests, and we provide the first asymptotic type-I-error and expected-rejection-time guarantees under general non-parametric data generating processes, where the …

abstract arxiv confidence decision decision making econ.em fly inference making math.st near non-parametric parametric practice statistical stat.me stat.ml stat.th tests type