Lower bounds are given for probabilistic error subject to a mean squared error constraint. Consequences for the expected length of variable length confidence intervals centred on adaptive estimators are given. It is shown that in many contexts centring confidence intervals on adaptive estimators must lead either to poor coverage probability or unnecessarily long intervals.
Publié le : 2005-04-14
Classification:
adaptive estimation,
confidence intervals,
coverage probability,
expected length,
modulus of continuity,
white noise model
@article{1116340298,
author = {Tony Cai, T. and Low, Mark G.},
title = {Adaptive estimation of linear functionals under different performance measures},
journal = {Bernoulli},
volume = {11},
number = {1},
year = {2005},
pages = { 341-358},
language = {en},
url = {http://dml.mathdoc.fr/item/1116340298}
}
Tony Cai, T.; Low, Mark G. Adaptive estimation of linear functionals under different performance measures. Bernoulli, Tome 11 (2005) no. 1, pp. 341-358. http://gdmltest.u-ga.fr/item/1116340298/