A sharp adaptive confidence ball for self-similar functions

DOI10.1016/J.SPA.2016.04.017MaRDI QIDQ335671zbMATHOpenAlexFDO

Authors Richard Nickl, Botond Szabó

Publication date 2 November 2016

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1406.3994

zbMATH Keywords

adaptationconfidence sets

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Nonparametric tolerance and confidence regions (62G15)

Abstract: In the nonparametric Gaussian sequence space model an $el{l}^2$-confidence ball $C_n$ is constructed that adapts to unknown smoothness and Sobolev-norm of the infinite-dimensional parameter to be estimated. The confidence ball has exact and honest asymptotic coverage over appropriately defined `self-similar' parameter spaces. It is shown by information-theoretic methods that this `self-similarity' condition is weakest possible.

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Cites work

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Cited in

(16)

• Locally adaptive confidence bands
• Asymptotic frequentist coverage properties of Bayesian credible sets for sieve priors
• Discussion of ``Frequentist coverage of adaptive nonparametric Bayesian credible sets
• Adaptive confidence balls
• Confidence balls in Gaussian regression.
• Smoothness-Adaptive Contextual Bandits
• Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient
• Asymptotic Bounds for Smoothness Parameter Estimates in Gaussian Process Interpolation
• Ideal Bayesian Spatial Adaptation
• Honest adaptive confidence bands and self-similar functions
• Adaptive confidence sets for matrix completion
• Adaptive non-asymptotic confidence balls in density estimation
• Adaptation bounds for confidence bands under self-similarity
• An asymptotic analysis of distributed nonparametric methods
• On adaptive confidence sets for the Wasserstein distances
• Transfer learning for contextual multi-armed bandits

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