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

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.