Adaptive nonparametric confidence sets
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Publication:2493553
DOI10.1214/009053605000000877zbMATH Open1091.62039arXivmath/0605473OpenAlexW3104796902MaRDI QIDQ2493553FDOQ2493553
Authors: James Robins, Aad van der Vaart 
Publication date: 21 June 2006
Published in: The Annals of Statistics (Search for Journal in Brave)
Abstract: We construct honest confidence regions for a Hilbert space-valued parameter in various statistical models. The confidence sets can be centered at arbitrary adaptive estimators, and have diameter which adapts optimally to a given selection of models. The latter adaptation is necessarily limited in scope. We review the notion of adaptive confidence regions, and relate the optimal rates of the diameter of adaptive confidence regions to the minimax rates for testing and estimation. Applications include the finite normal mean model, the white noise model, density estimation and regression with random design.
Full work available at URL: https://arxiv.org/abs/math/0605473
Recommendations
Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Nonparametric tolerance and confidence regions (62G15) Applications of functional analysis in probability theory and statistics (46N30)
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