# Catoni-style Confidence Sequences under Infinite Variance

@article{Bhatt2022CatonistyleCS, title={Catoni-style Confidence Sequences under Infinite Variance}, author={Sujay Bhatt and Guanhua Fang and P. Li and Gennady Samorodnitsky}, journal={ArXiv}, year={2022}, volume={abs/2208.03185} }

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…

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