High-confidence nonparametric fixed-width uncertainty intervals and applications to projected high-dimensional data and common mean estimation

DOI10.1080/07474946.2021.1847966MaRDI QIDQ4987193zbMATH OpenOpenAlexFDO

Authors Ansgar Steland, Yuan-Tsung Chang

Publication date 29 April 2021

Published in Sequential Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://arxiv.org/abs/1910.02829

zbMATH Keywords

big datadata sciencehigh-dimensional datajackknifesequential analysissequential sampling

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Density estimation (62G07) Nonparametric tolerance and confidence regions (62G15) Sequential statistical analysis (62L10) Statistical aspects of big data and data science (62R07)

Abstract: Nonparametric two-stage procedures to construct fixed-width confidence intervals are studied to quantify uncertainty. It is shown that the validity of the random central limit theorem (RCLT) accompanied by a consistent and asymptotically unbiased estimator of the asymptotic variance already guarantees consistency and first as well as second order efficiency of the two-stage procedures. This holds under the common asymptotics where the length of the confidence interval tends to $0$ as well as under the novel proposed high-confident asymptotics where the confidence level tends to $1$. The approach is motivated by and applicable to data analysis from distributed big data with non-negligible costs of data queries. The following problems are discussed: Fixed-width intervals for a the mean, for a projection when observing high-dimensional data and for the common mean when using nonlinear common mean estimators under order constraints. The procedures are investigated by simulations and illustrated by a real data analysis.

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Cited in

(1)

• Second-order (s.o.) multi-stage fixed-width confidence interval (FWCI) estimation strategies for comparing location parameters from two negative exponential (NE) populations: illustrations with cancer data

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