Adaptive Estimation of Linear Functionals Under Different Performance Measures
Bernoulli 11, 341-358, (2005).
Adaptive Estimation of Linear Functionals Under Different Performance Measures
Bernoulli 11, 341-358, (2005).
- Abstract: Lower bounds are given for probabilistic error subject to a mean squared error constraint. Consequences for the expected length of variable length confidence intervals centered on adaptive estimators are given. It is shown that in many contexts centering confidence intervals on adaptive estimators must lead either to poor coverage probability or unnecessarily long intervals.
- Paper: pdf file.
- Other related papers:
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