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Confidence Estimation via Sequential Likelihood Mixing by Kirschner, Johannes; Krause, Andreas; Meziu, Michele; Mutny, Mojmir is a scholarly article available to read on EtoBox.

What is Confidence Estimation via Sequential Likelihood Mixing about?

We present a universal framework for constructing confidence sets based on sequential likelihood mixing. Building upon classical results from sequential analysis, we provide a unifying perspective on several recent lines of work, and establish fundamental connections between sequential mixing, Bayesian inference and regret inequalities from online estimation. The framework applies to any realizable family of likelihood functions and allows for non-i.i.d. data and anytime validity. Moreover, the framework seamlessly integrates standard approximate inference techniques, such as variational inference and sampling-based methods, and extends to misspecified model classes, while preserving provable coverage guarantees. We illustrate the power of the framework by deriving tighter confidence sequences for classical settings, including sequential linear regression and sparse estimation, with simplified proofs.

Author

Kirschner, Johannes; Krause, Andreas; Meziu, Michele; Mutny, Mojmir

Published

2025

Language

EN