Renormalizing upper and lower bounds for integrated risk in the white noise model
type: Item
instance of: scholarly article
title: Renormalizing upper and lower bounds for integrated risk in the white noise model
zbMATH Open document ID: 0795.62038
author: Mark G. Low
published in: The Annals of Statistics
publication date: 1994-09-13T00:00:00Z
review text: The author considers the problem of estimation of the function \(f\) in the white noise model \[ dX_ t= f(t)dt+\sigma dW_ t, \quad 0\leq t\leq 1, \qquad f\in\mathbb{F}\subset \mathbb{L}^ 2[0,1]. \] He develops an original method to obtain upper and lower bounds for the minimax risk \[ \mathbb{R} (\mathbb{F},\sigma)= \inf_ \delta \sup_{f\in\mathbb{F}} \mathbb{E} \int_ 0^ 1 (f(x)- \delta(x))^ 2 dx. \] This is done for non-ellipsoidal sets \(\mathbb{F}\), extending results of Pinsker and Efroimovich, and Pinsker. In his proof he uses the invariance properties of \(\mathbb{F}\). As an example he considers \(\mathbb{F}\) as the set of functions having \((k-2)\) continuous derivatives and for which the \((k-1)\) derivative is Lipschitz with constant \(M\) and periodically continuous. He obtains in this case: \[ 0,196 M^{2/3}\leq \limsup_{\sigma\to 0} \sigma^{-2/3} \mathbb{R}(\mathbb{F}, \sigma)\leq M^{2/3}/ 3^{1/3}. \]
Mathematics Subject Classification ID: 62G07
Mathematics Subject Classification ID: 62G20
Mathematics Subject Classification ID: 62M05
zbMATH DE Number: 444768
zbMATH Keywords: white noise model
zbMATH Keywords: bounds
zbMATH Keywords: minimax risk
zbMATH Keywords: non-ellipsoidal sets
zbMATH Keywords: invariance properties
reviewed by: José R. León
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1214/aos/1176349137
OpenAlex ID: W2012079463
DOI: 10.1214/AOS/1176349137
description: scientific article; zbMATH DE number 444768