Adaptive estimation of linear functionals under different performance measures

被引：0
|
作者：
Cai, TT [1 ]
Low, MG [1 ]
机构：
[1] Univ Penn, Wharton Sch, Dept Stat, Philadelphia, PA 19104 USA
来源：
BERNOULLI | 2005年 / 11卷 / 02期
关键词：
adaptive estimation; confidence intervals; coverage probability; expected length; modulus of continuity; white noise model;
D O I：
暂无
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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.
引用
收藏
页码：341 / 358
页数：18
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