Sparse Confidence Sets for Normal Mean Models

DOI10.1093/IMAIAI/IAAD003arXiv2008.07107OpenAlexW3049093697MaRDI QIDQ6347192FDOQ6347192

Authors: Yang Ning, Guang Cheng 

Publication date: 17 August 2020

Abstract: In this paper, we propose a new framework to construct confidence sets for a $d$-dimensional unknown sparse parameter $heta$ under the normal mean model $XsimN(heta,sigm{a}^{2}I)$. A key feature of the proposed confidence set is its capability to account for the sparsity of $heta$, thus named as {em sparse} confidence set. This is in sharp contrast with the classical methods, such as Bonferroni confidence intervals and other resampling based procedures, where the sparsity of $heta$ is often ignored. Specifically, we require the desired sparse confidence set to satisfy the following two conditions: (i) uniformly over the parameter space, the coverage probability for $heta$ is above a pre-specified level; (ii) there exists a random subset $S$ of $1,\mathrm{...},d$ such that $S$ guarantees the pre-specified true negative rate (TNR) for detecting nonzero $het{a}_j$'s. To exploit the sparsity of $heta$, we define that the confidence interval for $het{a}_j$ degenerates to a single point 0 for any $jotinS$. Under this new framework, we first consider whether there exist sparse confidence sets that satisfy the above two conditions. To address this question, we establish a non-asymptotic minimax lower bound for the non-coverage probability over a suitable class of sparse confidence sets. The lower bound deciphers the role of sparsity and minimum signal-to-noise ratio (SNR) in the construction of sparse confidence sets. Furthermore, under suitable conditions on the SNR, a two-stage procedure is proposed to construct a sparse confidence set. To evaluate the optimality, the proposed sparse confidence set is shown to attain a minimax lower bound of some properly defined risk function up to a constant factor. Finally, we develop an adaptive procedure to the unknown sparsity and SNR. Numerical studies are conducted to verify the theoretical results.

Full work available at URL: https://doi.org/10.1093/imaiai/iaad003

Mathematics Subject Classification ID

Statistics (62-XX)

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