Adaptive Confidence Balls

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Statistics Papers
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adaptive confidence balls
Besov body
block thresholding
coverage probability
expected squared radius
loss estimation
Statistics and Probability
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Cai, T. Tony
Low, Mark G
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Adaptive confidence balls are constructed for individual resolution levels as well as the entire mean vector in a multiresolution framework. Finite sample lower bounds are given for the minimum expected squared radius for confidence balls with a prespecified confidence level. The confidence balls are centered on adaptive estimators based on special local block thresholding rules. The radius is derived from an analysis of the loss of this adaptive estimator. In addition adaptive honest confidence balls are constructed which have guaranteed coverage probability over all of ℝN and expected squared radius adapting over a maximum range of Besov bodies.

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2006-01-01
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The Annals of Statistics
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