Theory of adaptive estimation (Q6200220)

Summary: The paper is an introduction to the modern theory of adaptive estimation. We introduce a universal estimation procedure based on a random choice from collections of estimators satisfying a few very general assumptions. In the framework of an abstract statistical model, we present an upper bound for the risk of the proposed estimator (-oracle inequality). The basic technical tools here are a commutativity property of some operators and upper functions for positive random functionals. Since the obtained result is not related to a particular observation scheme, many conclusions for various problems in different statistical models can be derived from the single \(\ell\)-oracle inequality. For the entire collection see [Zbl 07816361].