Optimal adaptive estimation of a quadratic functional
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Applications of functional analysis in probability theory and statistics (46N30) Robustness and adaptive procedures (parametric inference) (62F35) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Nonparametric inference (62G99) Inference from stochastic processes (62M99)
Abstract: Adaptive estimation of a quadratic functional over both Besov and balls is considered. A collection of nonquadratic estimators are developed which have useful bias and variance properties over individual Besov and balls. An adaptive procedure is then constructed based on penalized maximization over this collection of nonquadratic estimators. This procedure is shown to be optimally rate adaptive over the entire range of Besov and balls in the sense that it attains certain constrained risk bounds.
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