Sequential Estimation of Convex Divergences using Reverse Submartingales and Exchangeable Filtrations
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We present a unified technique for sequential estimation of convex divergences between distributions, including integral probability metrics like the kernel maximum mean discrepancy, φ-divergences like the Kullback-Leibler divergence, and optimal transport costs, such as powers of Wasserstein distances. The technical underpinnings of our approach lie in the observation that empirical convex divergences are (partially ordered) reverse submartingales with respect to the exchangeable filtration, coupled with maximal inequalities for such processes. These techniques appear to be powerful additions to the existing literature on both confidence sequences and convex divergences. We construct an offline-to-sequential device that converts a wide array of existing offline concentration inequalities into time-uniform confidence sequences that can be continuously monitored, providing valid inference at arbitrary stopping times. The resulting sequential bounds pay only an iterated logarithmic price over the corresponding fixed-time bounds, retaining the same dependence on problem parameters (like dimension or alphabet size if applicable).
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