# Tight Concentrations and Confidence Sequences from the Regret of Universal Portfolio

@article{Orabona2021TightCA, title={Tight Concentrations and Confidence Sequences from the Regret of Universal Portfolio}, author={Francesco Orabona and Kwang-Sung Jun}, journal={ArXiv}, year={2021}, volume={abs/2110.14099} }

A classic problem in statistics is the estimation of the expectation of random variables from samples. This gives rise to the tightly connected problems of deriving concentration inequalities and conﬁdence sequences, that is conﬁdence intervals that hold uniformly over time. Jun and Orabona [COLT’19] have shown how to easily convert the regret guarantee of an online betting algorithm into a time-uniform concentration inequality. In this paper, we show that we can go even further: We show that…

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