Time-Uniform Confidence Spheres for Means of Random Vectors

We derive and study time-uniform confidence spheres - termed confidence sphere sequences (CSSs) - which contain the mean of random vectors with high probability simultaneously across all sample sizes. Inspired by the original work of Catoni and Giulini, we unify and extend their analysis to cover both the sequential setting and to handle a variety of distributional assumptions. More concretely, our results include an empirical-Bernstein CSS for bounded random vectors (resulting in a novel empirical-Bernstein confidence interval), a CSS for sub-$\psi$ random vectors, and a CSS for heavy-tailed random vectors based on a sequentially valid Catoni-Giulini estimator. Finally, we provide a version of our empirical-Bernstein CSS that is robust to contamination by Huber noise.

Online multiple testing with e-values

A scientist tests a continuous stream of hypotheses over time in the course of her investigation -- she does not test a predetermined, fixed number of hypotheses. The scientist wishes to make as many discoveries as possible while ensuring the number of false discoveries is controlled -- a well recognized way for accomplishing this is to control the false discovery rate (FDR). Prior methods for FDR control in the online setting have focused on formulating algorithms when specific dependency structures are assumed to exist between the test statistics of each hypothesis. However, in practice, these dependencies often cannot be known beforehand or tested after the fact. Our algorithm, e-LOND, provides FDR control under arbitrary, possibly unknown, dependence. We show that our method is more powerful than existing approaches to this problem through simulations. We also formulate extensions of this algorithm to utilize randomization for increased power, and for constructing confidence intervals in online selective inference.

Deep anytime-valid hypothesis testing

We propose a general framework for constructing powerful, sequential hypothesis tests for a large class of nonparametric testing problems. The null hypothesis for these problems is defined in an abstract form using the action of two known operators on the data distribution. This abstraction allows for a unified treatment of several classical tasks, such as two-sample testing, independence testing, and conditional-independence testing, as well as modern problems, such as testing for adversarial robustness of machine learning (ML) models. Our proposed framework has the following advantages over classical batch tests: 1) it continuously monitors online data streams and efficiently aggregates evidence against the null, 2) it provides tight control over the type I error without the need for multiple testing correction, 3) it adapts the sample size requirement to the unknown hardness of the problem. We develop a principled approach of leveraging the representation capability of ML models within the testing-by-betting framework, a game-theoretic approach for designing sequential tests. Empirical results on synthetic and real-world datasets demonstrate that tests instantiated using our general framework are competitive against specialized baselines on several tasks.

Anytime-valid t-tests and confidence sequences for Gaussian means with unknown variance

In 1976, Lai constructed a nontrivial confidence sequence for the mean $\mu$ of a Gaussian distribution with unknown variance $\sigma$. Curiously, he employed both an improper (right Haar) mixture over $\sigma$ and an improper (flat) mixture over $\mu$. Here, we elaborate carefully on the details of his construction, which use generalized nonintegrable martingales and an extended Ville's inequality. While this does yield a sequential t-test, it does not yield an ``e-process'' (due to the nonintegrability of his martingale). In this paper, we develop two new e-processes and confidence sequences for the same setting: one is a test martingale in a reduced filtration, while the other is an e-process in the canonical data filtration. These are respectively obtained by swapping Lai's flat mixture for a Gaussian mixture, and swapping the right Haar mixture over $\sigma$ with the maximum likelihood estimate under the null, as done in universal inference. We also analyze the width of resulting confidence sequences, which have a curious dependence on the error probability $\alpha$. Numerical experiments are provided along the way to compare and contrast the various approaches.

On the near-optimality of betting confidence sets for bounded means

Constructing nonasymptotic confidence intervals (CIs) for the mean of a univariate distribution from independent and identically distributed (i.i.d.) observations is a fundamental task in statistics. For bounded observations, a classical nonparametric approach proceeds by inverting standard concentration bounds, such as Hoeffding's or Bernstein's inequalities. Recently, an alternative betting-based approach for defining CIs and their time-uniform variants called confidence sequences (CSs), has been shown to be empirically superior to the classical methods. In this paper, we provide theoretical justification for this improved empirical performance of betting CIs and CSs. Our main contributions are as follows: (i) We first compare CIs using the values of their first-order asymptotic widths (scaled by $\sqrt{n}$), and show that the betting CI of Waudby-Smith and Ramdas (2023) has a smaller limiting width than existing empirical Bernstein (EB)-CIs. (ii) Next, we establish two lower bounds that characterize the minimum width achievable by any method for constructing CIs/CSs in terms of certain inverse information projections. (iii) Finally, we show that the betting CI and CS match the fundamental limits, modulo an additive logarithmic term and a multiplicative constant. Overall these results imply that the betting CI~(and CS) admit stronger theoretical guarantees than the existing state-of-the-art EB-CI~(and CS); both in the asymptotic and finite-sample regimes.

Reducing sequential change detection to sequential estimation

We consider the problem of sequential change detection, where the goal is to design a scheme for detecting any changes in a parameter or functional $\theta$ of the data stream distribution that has small detection delay, but guarantees control on the frequency of false alarms in the absence of changes. In this paper, we describe a simple reduction from sequential change detection to sequential estimation using confidence sequences: we begin a new $(1-\alpha)$-confidence sequence at each time step, and proclaim a change when the intersection of all active confidence sequences becomes empty. We prove that the average run length is at least $1/\alpha$, resulting in a change detection scheme with minimal structural assumptions~(thus allowing for possibly dependent observations, and nonparametric distribution classes), but strong guarantees. Our approach bears an interesting parallel with the reduction from change detection to sequential testing of Lorden (1971) and the e-detector of Shin et al. (2022).

Improved Self-Normalized Concentration in Hilbert Spaces: Sublinear Regret for GP-UCB

In the kernelized bandit problem, a learner aims to sequentially compute the optimum of a function lying in a reproducing kernel Hilbert space given only noisy evaluations at sequentially chosen points. In particular, the learner aims to minimize regret, which is a measure of the suboptimality of the choices made. Arguably the most popular algorithm is the Gaussian Process Upper Confidence Bound (GP-UCB) algorithm, which involves acting based on a simple linear estimator of the unknown function. Despite its popularity, existing analyses of GP-UCB give a suboptimal regret rate, which fails to be sublinear for many commonly used kernels such as the Mat\'ern kernel. This has led to a longstanding open question: are existing regret analyses for GP-UCB tight, or can bounds be improved by using more sophisticated analytical techniques? In this work, we resolve this open question and show that GP-UCB enjoys nearly optimal regret. In particular, our results directly imply sublinear regret rates for the Mat\'ern kernel, improving over the state-of-the-art analyses and partially resolving a COLT open problem posed by Vakili et al. Our improvements rely on two key technical results. First, we use modern supermartingale techniques to construct a novel, self-normalized concentration inequality that greatly simplifies existing approaches. Second, we address the importance of regularizing in proportion to the smoothness of the underlying kernel $k$. Together, these new technical tools enable a simplified, tighter analysis of the GP-UCB algorithm.

Adaptive Privacy Composition for Accuracy-first Mechanisms

In many practical applications of differential privacy, practitioners seek to provide the best privacy guarantees subject to a target level of accuracy. A recent line of work by \cite{LigettNeRoWaWu17, WhitehouseWuRaRo22} has developed such accuracy-first mechanisms by leveraging the idea of \emph{noise reduction} that adds correlated noise to the sufficient statistic in a private computation and produces a sequence of increasingly accurate answers. A major advantage of noise reduction mechanisms is that the analysts only pay the privacy cost of the least noisy or most accurate answer released. Despite this appealing property in isolation, there has not been a systematic study on how to use them in conjunction with other differentially private mechanisms. A fundamental challenge is that the privacy guarantee for noise reduction mechanisms is (necessarily) formulated as \emph{ex-post privacy} that bounds the privacy loss as a function of the released outcome. Furthermore, there has yet to be any study on how ex-post private mechanisms compose, which allows us to track the accumulated privacy over several mechanisms. We develop privacy filters \citep{RogersRoUlVa16, FeldmanZr21, WhitehouseRaRoWu22} that allow an analyst to adaptively switch between differentially private and ex-post private mechanisms subject to an overall privacy guarantee.

Differentially Private Conditional Independence Testing

Conditional independence (CI) tests are widely used in statistical data analysis, e.g., they are the building block of many algorithms for causal graph discovery. The goal of a CI test is to accept or reject the null hypothesis that $X \perp \!\!\! \perp Y \mid Z$, where $X \in \mathbb{R}, Y \in \mathbb{R}, Z \in \mathbb{R}^d$. In this work, we investigate conditional independence testing under the constraint of differential privacy. We design two private CI testing procedures: one based on the generalized covariance measure of Shah and Peters (2020) and another based on the conditional randomization test of Cand\`es et al. (2016) (under the model-X assumption). We provide theoretical guarantees on the performance of our tests and validate them empirically. These are the first private CI tests that work for the general case when $Z$ is continuous.

Auditing Fairness by Betting

We provide practical, efficient, and nonparametric methods for auditing the fairness of deployed classification and regression models. Whereas previous work relies on a fixed-sample size, our methods are sequential and allow for the continuous monitoring of incoming data, making them highly amenable to tracking the fairness of real-world systems. We also allow the data to be collected by a probabilistic policy as opposed to sampled uniformly from the population. This enables auditing to be conducted on data gathered for another purpose. Moreover, this policy may change over time and different policies may be used on different subpopulations. Finally, our methods can handle distribution shift resulting from either changes to the model or changes in the underlying population. Our approach is based on recent progress in anytime-valid inference and game-theoretic statistics-the "testing by betting" framework in particular. These connections ensure that our methods are interpretable, fast, and easy to implement. We demonstrate the efficacy of our methods on several benchmark fairness datasets.