AI & ML
Variance-adaptive Chernoff bounds: nonasymptotically valid, asymptotically sharp confidence sets for unbounded means
arXiv stat.TH0 views
arXiv:2610.42058v1 Announce Type: new Abstract: Consider the classical statistical problem of sub-Gaussian mean estimation under martingale dependence: given $n$ observations with conditional mean $\mu$ and a known conditional sub-Gaussian proxy $s>0$, we seek a nonasymptotically valid confidence interval for $\mu$. The usual Chernoff interval has half-width $s\sqrt{2\log(2/\alpha)/n}$; it neither adapts to the actual standard deviation $\sigma\le s$ nor attains the Gaussian quantile $z_{1-\alpha/2}$. We construct an analytically closed-form nonasymptotically-valid interval under martingale dependence whose endpoints, at every iid law with $\sigma > 0$, agree almost surely to first order with $\bar X_n\pm\sigma z_{1-\alpha/2}/\sqrt n$. The two new building blocks are a sub-Gaussian exponential supermartingale with an \emph{empirical} quadratic variance and a cubic correction term, and a sub-Gaussian continuation supermartingale, the former delivering variance adaptivity ("Empirical-Bernstein'' for unbounded data), the latter also providing the Gaussian quantile ("Empirical-Berry-Esseen'' for unbounded data). The same constructions yield a closed-form time-uniform confidence sequence with asymptotically unimprovable half-width $\sigma\sqrt{2\log\log n/n}$. We also give closed-form multivariate ellipsoids with the true-covariance chi-square limit, and extend the scalar Gaussian and LIL constructions to handle heavy-tailed settings where one only knows a bound on any absolute central moment of order greater than two. Experiments show substantial width reductions when the true variance is smaller than the implied variance bound, at small loss in the boundary cases. The surprising (to us) takeaway message is: given any more than two moments, one can construct fully data dependent nonasymptotic confidence sets for the mean that are asymptotically efficient.
Source:https://arxiv.org/abs/2610.42058PreviousOn Statistical-Computational Gaps in Graph Combinatorial Testing ProblemsNextThe Geometry of Multitask Learning: Sharp Rates for Shared Subspace Estimation
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