Abstract:We revisit the problem of sequentially testing the mean of bounded distributions in a level-$\alpha$ power-one framework. We study a $\mathrm{KL_{inf}}$-based sequential test that is known to attain the information-theoretic lower bound on the expected stopping time with exact constants as $\alpha \to 0$. Going beyond first-order asymptotics, we establish a central limit theorem (CLT) for the stopping time of this test. Our analysis proceeds in two steps. First, we prove a novel CLT for the $\mathrm{KL_{inf}}$ statistic itself, characterizing its fluctuations around its deterministic limit. We then leverage this result to show that the stopping time, centered appropriately and scaled by $\sqrt{\log(1/\alpha)}$, converges in distribution to a Gaussian limit with an explicit variance. This yields a second-order characterization of an asymptotically optimal sequential test for bounded distributions. Finally, we present numerical experiments that corroborate our theoretical findings.
From: Vikas Deep [view email]
[v1]
Wed, 3 Jun 2026 06:56:15 UTC (550 KB)
[v2]
Mon, 10 Aug 2026 02:58:50 UTC (354 KB)
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