Gaussian-efficient testing by betting on the mean of bounded data

Abstract

Given $[0,1]$-valued random variables $X_1,\dots,X_n$ such that $\mathbb{E}[X_i | X_1,\dots,X_{i-1}]= \mu$ for all $i$, we propose a new nonasymptotic confidence interval for $\mu$ that is obtained by inverting terminal e-values generated by a novel betting strategy. When the data are iid, its limiting width matches that of the central limit theorem (``Gaussian-efficient''), finally surpassing the inefficient limits of previous betting intervals. Our main conceptual advance involves designing betting fractions that track the conditional rejection probability of the most powerful terminal test in a limiting Gaussian experiment. When one predictable variance estimator is shared across candidate means, the deterministic inversion is an interval for every data sequence and its two endpoints can be found easily. The width can be improved further with external randomization. In simulations, our method yields the tightest intervals to date; for every distribution tested and all sufficiently large $n$, our deterministic version beats STaR-Bets and is competitive with Gaffke, while the randomized improvement beats both. It thus combines finite-sample validity under martingale dependence, easy endpoint computation, Gaussian-efficient inference for iid data, and excellent empirical performance. We also extend the construction and its efficiency theory to sampling without replacement, where it again achieves state-of-the-art empirical performance.