Optimal confidence bands for shaperestricted curves

被引:31
|
作者
Dümbgen, L [1 ]
机构
[1] Univ Bern, Dept Math Stat & Actuarial Sci, CH-3012 Bern, Switzerland
关键词
adaptivity; concave; convex; isotonic; kernel estimator; local smoothness; minimax bounds; multiscale testing;
D O I
10.3150/bj/1065444812
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
Let Y be a stochastic process on [0, 1] satisfying dY(t) = n(1/2) f(t)dt + dW(t), where n greater than or equal to 1 is a given scale parameter ('sample size'), W is standard Brownian motion and,f is an unknown function. Utilizing suitable multiscale tests, we construct confidence bands for f with guaranteed given coverage probability, assuming that f is isotonic or convex. These confidence bands are computationally feasible and shown to be asymptotically sharp optimal in an appropriate sense.
引用
收藏
页码:423 / 449
页数:27
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