Adaptive confidence intervals for regression functions under shape constraints

DOI10.1214/12-AOS1068zbMATH Open1267.62066arXiv1305.5673OpenAlexW2077590083MaRDI QIDQ355099FDOQ355099

Authors: Mark G. Low, Yin Xia, T. Tony Cai 

Publication date: 24 July 2013

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: Adaptive confidence intervals for regression functions are constructed under shape constraints of monotonicity and convexity. A natural benchmark is established for the minimum expected length of confidence intervals at a given function in terms of an analytic quantity, the local modulus of continuity. This bound depends not only on the function but also the assumed function class. These benchmarks show that the constructed confidence intervals have near minimum expected length for each individual function, while maintaining a given coverage probability for functions within the class. Such adaptivity is much stronger than adaptive minimaxity over a collection of large parameter spaces.

Full work available at URL: https://arxiv.org/abs/1305.5673

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zbMATH Keywords

expected lengthnonparametric regressionadaptationmonotone functionsconvex functionsmodulus of continuitycoverage probabilityminimax estimationshape constraintwhite noise model

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric tolerance and confidence regions (62G15)

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Cited In (16)

• Coverage of credible intervals in Bayesian multivariate isotonic regression
• Adaptive confidence region for the direction in semiparametric regressions
• On the limitations of fixed‐step‐size adaptive methods with response confidence
• Inference of local regression in the presence of nuisance parameters
• Rates and coverage for monotone densities using projection-posterior
• Adaptive confidence sets in shape restricted regression
• Adaptive estimation of planar convex sets
• Adaptive testing on a regression function at a point
• Adaptive Confidence Bands for Nonparametric Regression Functions
• Estimation and inference for minimizer and minimum of convex functions: optimality, adaptivity and uncertainty principles
• Transfer learning for contextual multi-armed bandits
• Coverage of credible intervals in nonparametric monotone regression
• Concave regression: value-constrained estimation and likelihood ratio-based inference
• Inference for Local Parameters in Convexity Constrained Models
• Stochastic continuum-armed bandits with additive models: minimax regrets and adaptive algorithm
• Optimal confidence bands for shape-restricted curves

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