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Found 2 papers, 2 papers with code
Near-Optimal Non-Parametric Sequential Tests and Confidence Sequences with Possibly Dependent Observations
The type-I-error results primarily leverage a martingale strong invariance principle and establish that these tests (and their implied confidence sequences) have type-I error rates asymptotically equivalent to the desired (possibly varying) $\alpha$-level.
Adaptive Variable Selection for Sequential Prediction in Multivariate Dynamic Models
The adaptivity allows for changes in the sets of favored models over time, and is guided by the specific forecasting goals.
Methodology Applications Computation
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