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Abstract Details

Activity Number: 407
Type: Contributed
Date/Time: Tuesday, July 31, 2012 : 2:00 PM to 3:50 PM
Sponsor: IMS
Abstract - #305454
Title: Adaptive Confidence Bands
Author(s): Zongming Ma*+
Companies: The Wharton School
Address: University of Pennsylvania, Philadelphia, PA, 19104-6340,
Keywords: nonparametric function estimation ; confidence band ; adaptivity

We consider the problem of constructing confidence bands for a collection of Holder function classes. It is well known that though there exist estimators that adapt to the unknown smoothness of the underlying function, honest adaptive confidence band does not exist. In this talk, we propose a relaxation of the usual definition of coverage, and show that there exists a new confidence band procedure that can adapt to a limited collection of Holder classes under the new notion of coverage. This is a joint work with Tony Cai and Mark Low.

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