Adaptation Under Probabilistic Error For Estimating Linear Functionals
J. Multivariate Analysis 97, 231-245, (2006).
Adaptation Under Probabilistic Error For Estimating Linear Functionals
J. Multivariate Analysis 97, 231-245, (2006).
- Abstract: The problem of estimating linear functionals based on Gaussian observations is considered. Probabilistic error is used as a measure of accuracy and attention is focused on the construction of adaptive estimators which are simultaneously near optimal under probabilistic error over a collection of convex parameter spaces. In contrast to mean squared error it is shown that fully rate optimal adaptive estimators can be constructed for probabilistic error. A general construction of such estimators is provided and examples are given to illustrate the general theory.
- Paper: pdf file.
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