On Nonasymptotic Confidence Intervals for Treatment Effects in Randomized Experiments

Abstract: We study nonasymptotic (finite-sample) confidence intervals for treatment effects in randomized experiments. In the existing literature, the effective sample sizes of nonasymptotic confidence intervals tend to be looser than the corresponding central-limit-theorem-based confidence intervals by a factor depending on the square root of the propensity score. We show that this performance gap can be closed, designing nonasymptotic confidence intervals that have the same effective sample size as their asymptotic counterparts. Our approach involves systematic exploitation of negative dependence or variance adaptivity (or both). We also show that the nonasymptotic rates that we achieve are unimprovable in an information-theoretic sense.