Adaptive simultaneous confidence intervals in non-parametric estimation

Karine Tribouley

Statistics & Probability Letters, 2004, vol. 69, issue 1, 37-51

Abstract: We present non-linear wavelet methods to compute simultaneous confidence intervals for f(x) when f is a functional parameter issued from a non-parametric model. The levels of the intervals are at least [gamma], and we prove that they achieve the minimum diameter up to a logarithmic term. The procedure is data-driven and the adaptation is made via the Lepskii's algorithm.

Keywords: Adaptation; Non-parametric; estimation-wavelet; methods (search for similar items in EconPapers)
Date: 2004
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