A sharp adaptive confidence ball for self-similar functions
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Publication:335671
DOI10.1016/J.SPA.2016.04.017zbMATH Open1348.62165arXiv1406.3994OpenAlexW23305736MaRDI QIDQ335671FDOQ335671
Authors: Richard Nickl, Botond Szabó 
Publication date: 2 November 2016
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Abstract: In the nonparametric Gaussian sequence space model an -confidence ball 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.
Full work available at URL: https://arxiv.org/abs/1406.3994
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Cited In (16)
- Adaptive confidence balls
- Locally adaptive confidence bands
- Adaptive non-asymptotic confidence balls in density estimation
- On adaptive confidence sets for the Wasserstein distances
- Confidence balls in Gaussian regression.
- Asymptotic frequentist coverage properties of Bayesian credible sets for sieve priors
- Asymptotic Bounds for Smoothness Parameter Estimates in Gaussian Process Interpolation
- An asymptotic analysis of distributed nonparametric methods
- Transfer learning for contextual multi-armed bandits
- Ideal Bayesian Spatial Adaptation
- Discussion of ``Frequentist coverage of adaptive nonparametric Bayesian credible sets
- Smoothness-Adaptive Contextual Bandits
- Adaptation bounds for confidence bands under self-similarity
- Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient
- Honest adaptive confidence bands and self-similar functions
- Adaptive confidence sets for matrix completion
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