This MATLAB software package implements the algorithms in the paper
Orabona and Jun, "Tight Concentrations and Confidence Sequences from the Regret of Universal Portfolio", ArXiv 2021
Update: The paper is now published in IEEE Trans. on Information Theory.
The algorithms construct a sequence of time-uniform confidence intervals, also known as confidence sequences, using a betting approach. In particular, the regret of universal portfolio algorithms is used to construct implicit concentration inequalities that are numerically inverted.
Take a look at demo.m for an example of usage.