REVIEW 1 cited by
Catoni-style Confidence Sequences under Infinite Variance
Not yet reviewed by Pith; the record is open.
This paper has not been read by Pith yet. Machine review is queued; the pith claim, tier, and objections will appear here once it completes.
SPECIMEN: schema-true, not a live event
T0 review · schema-true
One-sentence machine reading of the paper's core claim.
pith:XXXXXXXX · record.json · timestamp
abstract
In this paper, we provide an extension of confidence sequences for settings where the variance of the data-generating distribution does not exist or is infinite. Confidence sequences furnish confidence intervals that are valid at arbitrary data-dependent stopping times, naturally having a wide range of applications. We first establish a lower bound for the width of the Catoni-style confidence sequences for the finite variance case to highlight the looseness of the existing results. Next, we derive tight Catoni-style confidence sequences for data distributions having a relaxed bounded~$p^{th}-$moment, where~$p \in (1,2]$, and strengthen the results for the finite variance case of~$p =2$. The derived results are shown to better than confidence sequences obtained using Dubins-Savage inequality.
Forward citations
Cited by 1 Pith paper
-
Catoni-Style Change Point Detection for Regret Minimization in Non-Stationary Heavy-Tailed Bandits
For heavy-tailed piecewise-stationary bandits, this paper presents a Catoni-style change-point detector and a UCB-style algorithm whose regret matches a claimed lower bound up to logarithmic factors.
Discussion (0). Continue with ORCID to comment.