Sequential estimation of quantiles with applications to A/B testing and best-arm identification

DOI10.3150/21-BEJ1388MaRDI QIDQ2137037

Aaditya Ramdas, Steven R. Howard

Publication date: 16 May 2022

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1906.09712

zbMATH Keywords

empirical processquantile estimationconfidence sequencesDvoretzky-Kiefer-Wolfowitz inequalitybest-arm identification

Mathematics Subject Classification ID

Stochastic processes (60Gxx) Nonparametric inference (62Gxx) Sequential statistical methods (62Lxx)

Related Items (4)

Universal inference ⋮ Confidence sequences with composite likelihoods ⋮ Game-theoretic statistics and safe anytime-valid inference ⋮ Sequentially valid tests for forecast calibration

Cites Work

• Sequential quantiles via Hermite series density estimation
• Concentration inequalities for order statistics
• The tight constant in the Dvoretzky-Kiefer-Wolfowitz inequality
• On the estimation of the extreme-value index and large quantile estimation
• A functional law of the iterated logarithm for weighted empirical distributions
• On large deviation for extremes.
• On the Lambert \(w\) function
• Time-uniform, nonparametric, nonasymptotic confidence sequences
• Time-uniform Chernoff bounds via nonnegative supermartingales
• The sizes of compact subsets of Hilbert space and continuity of Gaussian processes
• Asymptotic Minimax Character of the Sample Distribution Function and of the Classical Multinomial Estimator
• Mathematical Foundations of Infinite-Dimensional Statistical Models
• Pure Exploration in Multi-armed Bandits Problems
• On Smooth Statistical Tail Functionals
• The Generic Chaining
• Probability Inequalities for Sums of Bounded Random Variables
• A First Course in Order Statistics
• ITERATED LOGARITHM INEQUALITIES
• CONFIDENCE SEQUENCES FOR MEAN, VARIANCE, AND MEDIAN
• SOME NONPARAMETRIC SEQUENTIAL TESTS WITH POWER ONE
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Sequential estimation of quantiles with applications to A/B testing and best-arm identification