Honest and adaptive confidence sets in L_p
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Publication:391835
DOI10.1214/13-EJS867zbMATH Open1280.62055arXiv1306.5899WikidataQ109040207 ScholiaQ109040207MaRDI QIDQ391835FDOQ391835
Authors: Alexandra Carpentier 
Publication date: 13 January 2014
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Abstract: We consider the problem of constructing honest and adaptive confidence sets in Lp-loss (with p>=1 and p < infinity) over sets of Sobolev-type classes, in the setting of non-parametric Gaussian regression. The objective is to adapt the diameter of the confidence sets with respect to the smoothness degree of the underlying function, while ensuring that the true function lies in the confidence interval with high probability.When p >=2, we identify two main regimes, (i) one where adaptation is possible without any restrictions on the model, and (ii) one where critical regions have to be removed. We also prove by a matching lower bound that the size of the regions that we remove can not be chosen significantly smaller. These regimes are shown to depend in a qualitative way on the index p, and a continuous transition from p = 2 to p = infinity is exhibited.
Full work available at URL: https://arxiv.org/abs/1306.5899
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Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Nonparametric tolerance and confidence regions (62G15)
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Cited In (16)
- Locally adaptive confidence bands
- On adaptive confidence sets for the Wasserstein distances
- Asymptotic frequentist coverage properties of Bayesian credible sets for sieve priors
- Adaptive confidence sets in shape restricted regression
- Adaptive confidence intervals for the tail coefficient in a wide second order class of Pareto models
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