Why minimax is not that pessimistic

DOI10.1051/PS/2012002MaRDI QIDQ5408480zbMATH OpenOpenAlexFDO

Authors Aurélia Fraysse

Publication date 10 April 2014

Published in ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0902.3311

zbMATH Keywords

prevalenceBesov spaceswavelet basesmaxiset theory

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Applications of functional analysis in probability theory and statistics (46N30) Minimax procedures in statistical decision theory (62C20) Sobolev spaces and other spaces of ``smooth functions, embedding theorems, trace theorems (46E35)

Abstract: In nonparametric statistics an optimality criterion for estimation procedures is provided by the minimax rate of convergence. However this classical point of view is subject to controversy as it requires to look for the worst behaviour reached by an estimation procedure in a given space. The purpose of this paper is to show that this is not justified as the minimax risk often coincides with a generic one. We are here interested in the rate of convergence attained by some classical estimators on almost every, in the sense of prevalence, function in a Besov space.

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Cited in

(1)

• On shrinking minimax convergence in nonparametric statistics

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