Simple adaptive estimation of quadratic functionals in nonparametric IV models
From MaRDI portal
Abstract: This paper considers adaptive, minimax estimation of a quadratic functional in a nonparametric instrumental variables (NPIV) model, which is an important problem in optimal estimation of a nonlinear functional of an ill-posed inverse regression with an unknown operator. We first show that a leave-one-out, sieve NPIV estimator of the quadratic functional can attain a convergence rate that coincides with the lower bound previously derived in Chen and Christensen [2018]. The minimax rate is achieved by the optimal choice of the sieve dimension (a key tuning parameter) that depends on the smoothness of the NPIV function and the degree of ill-posedness, both are unknown in practice. We next propose a Lepski-type data-driven choice of the key sieve dimension adaptive to the unknown NPIV model features. The adaptive estimator of the quadratic functional is shown to attain the minimax optimal rate in the severely ill-posed case and in the regular mildly ill-posed case, but up to a multiplicative factor in the irregular mildly ill-posed case.
Cites work
- A simple adaptive estimator of the integrated square of a density
- Adaptive estimation of a quadratic functional by model selection.
- Adaptive estimation of functionals in nonparametric instrumental regression
- Adaptive estimation of nonparametric functionals
- Adaptive nonparametric instrumental variables estimation: empirical choice of the regularization parameter
- Anti-concentration and honest, adaptive confidence bands
- Bootstrap tuning in Gaussian ordered model selection
- Estimation of integral functionals of a density
- Goodness-of-fit testing and quadratic functional estimation from indirect observations
- scientific article; zbMATH DE number 4107941 (Why is no real title available?)
- scientific article; zbMATH DE number 2034508 (Why is no real title available?)
- Instrumental Variable Estimation of Nonparametric Models
- Mathematical Foundations of Infinite-Dimensional Statistical Models
- Minimax estimation of linear and quadratic functionals on sparsity classes
- Minimax quadratic estimation of a quadratic functional
- Nonparametric instrumental regression
- Nonparametric methods for inference in the presence of instrumental variables
- On a Problem of Adaptive Estimation in Gaussian White Noise
- On adaptive wavelet estimation of a quadratic functional from a deconvolution problem
- On inverse problems with unknown operators
- On optimal adaptive estimation of a quadratic functional
- On rate optimality for ill-posed inverse problems in econometrics
- On the estimation of quadratic functionals
- Optimal adaptive estimation of a quadratic functional
- Optimal pointwise adaptive methods in nonparametric estimation
- Optimal spatial adaptation to inhomogeneous smoothness: An approach based on kernel estimates with variable bandwidth selectors
- Optimal sup-norm rates and uniform inference on nonlinear functionals of nonparametric IV regression
- Parameter tuning in pointwise adaptation using a propagation approach
- Quadratic functional estimation in inverse problems
- Rate optimal estimation of quadratic functionals in inverse problems with partially unknown operator and application to testing problems
- Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves
- Sieve Wald and QLR inferences on semi/nonparametric conditional moment models
This page was built for publication: Simple adaptive estimation of quadratic functionals in nonparametric IV models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6200195)
