Uniform, nonparametric, non-asymptotic confidence sequences
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A confidence sequence is a sequence of confidence intervals that is uniformly valid over an unbounded time horizon. In this paper, we develop non-asymptotic confidence sequences that achieve arbitrary precision under nonparametric conditions. Our technique draws a connection between the classical Cramér-Chernoff method, the law of the iterated logarithm (LIL), and the sequential probability ratio test (SPRT)---our confidence sequences extend the first to produce time-uniform concentration bounds, provide tight non-asymptotic characterizations of the second, and generalize the third to nonparametric settings, including sub-Gaussian and Bernstein conditions, self-normalized processes, and matrix martingales. We strengthen and generalize existing constructions of finite-time iterated logarithm ("finite LIL") bounds. We illustrate the generality of our proof techniques by deriving an empirical-Bernstein finite LIL bound as well as a novel upper LIL bound for the maximum eigenvalue of a sum of random matrices. Finally, we demonstrate the utility of our approach with applications to covariance matrix estimation and to estimation of sample average treatment effect under the Neyman-Rubin potential outcomes model, for which we give a non-asymptotic, sequential estimation strategy which handles adaptive treatment mechanisms such as Efron's biased coin design.
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