Estimating means of bounded random variables by betting

I Waudby-Smith, A Ramdas - Journal of the Royal Statistical …, 2024‏ - academic.oup.com
We derive confidence intervals (CIs) and confidence sequences (CSs) for the classical
problem of estimating a bounded mean. Our approach generalizes and improves on the …

Tight concentrations and confidence sequences from the regret of universal portfolio

F Orabona, KS Jun - IEEE Transactions on Information Theory, 2023‏ - ieeexplore.ieee.org
A classic problem in statistics is the estimation of the expectation of random variables from
samples. This gives rise to the tightly connected problems of deriving concentration …

Empirical Bernstein in smooth Banach spaces

D Martinez-Taboada, A Ramdas - arxiv preprint arxiv:2409.06060, 2024‏ - arxiv.org
Existing concentration bounds for bounded vector-valued random variables include
extensions of the scalar Hoeffding and Bernstein inequalities. While the latter is typically …

Peeking with PEAK: Sequential, nonparametric composite hypothesis tests for means of multiple data streams

B Cho, K Gan, N Kallus - arxiv preprint arxiv:2402.06122, 2024‏ - arxiv.org
We propose a novel nonparametric sequential test for composite hypotheses for means of
multiple data streams. Our proposed method,\emph {peeking with expectation-based …

Jiayi Li, Yuantong Li and **aowu Dai's contribution to the Discussion of 'Estimating means of bounded random variables by betting'by Waudby-Smith and Ramdas

J Li, Y Li, X Dai - Journal of the Royal Statistical Society Series …, 2024‏ - academic.oup.com
1 Methods Consider a sequence of random variables (X t) t= 1∞⁠, drawn from a distribution
P∈ P μ⁠, where P μ represents the set of all distributions on [0, 1]∞⁠. We assume EP [X t| X …

Art Owen's contribution to the Discussion of 'Estimating means of bounded random variables by betting'by Waudby-Smith and Ramdas

AB Owen - Journal of the Royal Statistical Society Series B …, 2024‏ - academic.oup.com
We derive confidence intervals (CIs) and confidence sequences (CSs) for the classical
problem of estimating a bounded mean. Our approach generalizes and improves on the …

Gambling-based confidence sequences for bounded random vectors

JJ Ryu, GW Wornell - arxiv preprint arxiv:2402.03683, 2024‏ - arxiv.org
A confidence sequence (CS) is a sequence of confidence sets that contains a target
parameter of an underlying stochastic process at any time step with high probability. This …

Philip B. Stark's contribution to the Discussion of 'Estimating means of bounded random variables by betting'by Waudby-Smith and Ramdas

PB Stark - Journal of the Royal Statistical Society Series B …, 2024‏ - academic.oup.com
We derive confidence intervals (CIs) and confidence sequences (CSs) for the classical
problem of estimating a bounded mean. Our approach generalizes and improves on the …

Anastasios N. Angelopoulos' contribution to the Discussion of 'Estimating means of bounded random variables by betting'by Waudby-Smith and Ramdas

AN Angelopoulos - Journal of the Royal Statistical Society Series …, 2024‏ - academic.oup.com
We derive confidence intervals (CIs) and confidence sequences (CSs) for the classical
problem of estimating a bounded mean. Our approach generalizes and improves on the …

Steven R Howard's contribution to the Discussion of 'Estimating means of bounded random variables by betting'by Waudby-Smith and Ramdas

SR Howard - Journal of the Royal Statistical Society Series B …, 2024‏ - academic.oup.com
We derive confidence intervals (CIs) and confidence sequences (CSs) for the classical
problem of estimating a bounded mean. Our approach generalizes and improves on the …