We establish a near-optimal almost sure invariance principle for nonstationary time series under the functional dependence measure (FDM) framework. This result yields a universal time-uniform dependent central limit theorem, which serves as the basis for anytime-valid inference. In particular, we instantiate the theorem through asymptotic confidence sequences (AsympCSs), time-uniform counterparts of asymptotic confidence intervals obtained via central limit theorems, extending those originally proposed in Waudby-Smith et al. (2024) to time series with serial dependence. We further refine the original definition because, as we show, it can admit AsympCSs that fail to achieve asymptotic time-uniform coverage even for independent and identically distributed settings. We address this issue by adding a simple eventual-inclusion condition, which in turn permits more flexible variance estimation. In time-series settings, this relaxation can substantially ease restrictions on bandwidth and kernel selection. For feasible implementation of AsympCSs, we establish strong consistency of HAC variance estimators under the FDM framework, accommodating a wider range of commonly used bandwidth choices than existing results under mixing conditions. As illustrations, we construct AsympCSs for algorithms with Markovian structure and time-series-based causal estimands.

翻译：暂无翻译