Optimal adaptive estimation of a quadratic functional

DOI10.1214/009053606000000849zbMATH Open1110.62048arXivmath/0702682OpenAlexW3103631397MaRDI QIDQ869971FDOQ869971

Mark G. Low, T. Tony Cai

Publication date: 12 March 2007

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

Abstract: Adaptive estimation of a quadratic functional over both Besov and $L_p$ balls is considered. A collection of nonquadratic estimators are developed which have useful bias and variance properties over individual Besov and $L_p$ balls. An adaptive procedure is then constructed based on penalized maximization over this collection of nonquadratic estimators. This procedure is shown to be optimally rate adaptive over the entire range of Besov and $L_p$ balls in the sense that it attains certain constrained risk bounds.

Full work available at URL: https://arxiv.org/abs/math/0702682

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zbMATH Keywords

waveletsadaptationblock thresholdingwhite noise method

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Inference from stochastic processes (62M99) Applications of functional analysis in probability theory and statistics (46N30) Robustness and adaptive procedures (parametric inference) (62F35) Nonparametric inference (62G99)

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Cited In (33)

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