Anti-concentration and honest, adaptive confidence bands

Victor Chernozhukov, Denis Chetverikov () and Kengo Kato
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Denis Chetverikov: Institute for Fiscal Studies and UCLA
Kengo Kato: Institute for Fiscal Studies

No CWP43/16, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract: Modern construction of uniform con?dence bands for nonpara-metric densities (and other functions) often relies on the classical Smirnov-Bickel-Rosenblatt (SBR) condition; see, for example, Giné and Nickl (2010). This condition requires the existence of a limit distribution of an extreme value type for the supremum of a studentized empirical process (equivalently, for the supremum of a Gaussian process with the same covariance function as that of the studentized empirical process). The principal contribution of this paper is to remove the need for this classical condition. We show that a considerably weaker sufficient condition is derived from an anti-concentration property of the supremum of the approximating Gaussian process, and we derive an inequality leading to such a property for separable Gaussian processes. We refer to the new condition as a generalized SBR condition. Our new result shows that the supremum does not concentrate too fast around any value. We then apply this result to derive a Gaussian multiplier boot-strap procedure for constructing honest con?dence bands for non-parametric density estimators (this result can be applied in other nonparametric problems as well). An essential advantage of our ap-proach is that it applies generically even in those cases where the limit distribution of the supremum of the studentized empirical pro-cess does not exist (or is unknown). This is of particular importance in problems where resolution levels or other tuning parameters have been chosen in a data-driven fashion, which is needed for adaptive constructions of the con?dence bands. Finally, of independent inter-est is our introduction of a new, practical version of Lepski’s method, which computes the optimal, non-conservative resolution levels via a Gaussian multiplier bootstrap method.

Date: 2016-08-26
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Related works:
Working Paper: Anti-concentration and honest, adaptive confidence bands (2016)
Working Paper: Anti-concentration and honest, adaptive confidence bands (2013)
Working Paper: Anti-concentration and honest, adaptive confidence bands (2013)
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