Median regularity and honest inference

Arun Kumar Kuchibhotla, Sivaraman Balakrishnan and Larry Wasserman

Biometrika, 2023, vol. 110, issue 3, 831-838

Abstract: SummaryWe introduce a new notion of regularity of an estimator called median regularity. We prove that uniformly valid honest inference for a functional is possible if and only if there exists a median regular estimator of that functional. To the best of our knowledge, such a notion of regularity that is necessary for uniformly valid inference is unavailable in the literature.

Keywords: Honest inference; Median bias; Pointwise validity; Regular estimation (search for similar items in EconPapers)
Date: 2023
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