Adaptive confidence balls
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Publication:2493552
DOI10.1214/009053606000000146zbMATH Open1091.62037arXivmath/0605462OpenAlexW3105878993MaRDI QIDQ2493552FDOQ2493552
Publication date: 21 June 2006
Published in: The Annals of Statistics (Search for Journal in Brave)
Abstract: Adaptive confidence balls are constructed for individual resolution levels as well as the entire mean vector in a multiresolution framework. Finite sample lower bounds are given for the minimum expected squared radius for confidence balls with a prespecified confidence level. The confidence balls are centered on adaptive estimators based on special local block thresholding rules. The radius is derived from an analysis of the loss of this adaptive estimator. In addition adaptive honest confidence balls are constructed which have guaranteed coverage probability over all of and expected squared radius adapting over a maximum range of Besov bodies.
Full work available at URL: https://arxiv.org/abs/math/0605462
Recommendations
coverage probabilityloss estimationblock thresholdingBesov bodyadaptive confidence ballsexpected squared radius
Nonparametric tolerance and confidence regions (62G15) Estimation in multivariate analysis (62H12) Robustness and adaptive procedures (parametric inference) (62F35)
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Cited In (40)
- Minimax and adaptive inference in nonparametric function estimation
- Adaptive confidence bands
- Adaptive confidence balls
- Accuracy assessment for high-dimensional linear regression
- Locally adaptive confidence bands
- Nonquadratic estimators of a quadratic functional
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- Confidence sets in sparse regression
- Nonparametric hypothesis testing with small type I or type II error probabilities
- Optimal sparsity testing in linear regression model
- Testability of high-dimensional linear models with nonsparse structures
- Confidence regions and minimax rates in outlier-robust estimation on the probability simplex
- The root-unroot algorithm for density estimation as implemented via wavelet block thresholding
- Statistical inference for the optimal approximating model
- Adaptive confidence sets in shape restricted regression
- Testing the regularity of a smooth signal
- Adaptive Confidence Bands for Nonparametric Regression Functions
- Coverage of credible intervals in nonparametric monotone regression
- Conditional predictive inference post model selection
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- Title not available (Why is that?)
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