Adaptation bounds for confidence bands under self-similarity
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Publication:2040066
DOI10.3150/20-BEJ1277zbMATH Open1469.62249arXiv1810.09762OpenAlexW3153574191MaRDI QIDQ2040066FDOQ2040066
Authors: Timothy B. Armstrong 
Publication date: 9 July 2021
Published in: Bernoulli (Search for Journal in Brave)
Abstract: We derive bounds on the scope for a confidence band to adapt to the unknown regularity of a nonparametric function that is observed with noise, such as a regression function or density, under the self-similarity condition proposed by Gine and Nickl (2010). We find that adaptation can only be achieved up to a term that depends on the choice of the constant used to define self-similarity, and that this term becomes arbitrarily large for conservative choices of the self-similarity constant. We construct a confidence band that achieves this bound, up to a constant term that does not depend on the self-similarity constant. Our results suggest that care must be taken in choosing and interpreting the constant that defines self-similarity, since the dependence of adaptive confidence bands on this constant cannot be made to disappear asymptotically.
Full work available at URL: https://arxiv.org/abs/1810.09762
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