Needles and straw in a haystack: robust confidence for possibly sparse sequences
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Publication:2278660
Abstract: In the general signal+noise model we construct an empirical Bayes posterior which we then use for uncertainty quantification for the unknown, possibly sparse, signal. We introduce a novel excessive bias restriction (EBR) condition, which gives rise to a new slicing of the entire space that is suitable for uncertainty quantification. Under EBR and some mild conditions on the noise, we establish the local (oracle) optimality of the proposed confidence ball. In passing, we also get the local optimal (oracle) results for estimation and posterior contraction problems. Adaptive minimax results (also for the estimation and posterior contraction problems) over various sparsity classes follow from our local results.
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Cited in
(25)- Uncertainty quantification for robust variable selection and multiple testing
- Needles and straw in a haystack: robust confidence for possibly sparse sequences
- Spike and slab empirical Bayes sparse credible sets
- On spike and slab empirical Bayes multiple testing
- Empirical Bayes oracle uncertainty quantification for regression
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