1. Sparse confidence sets for normal mean models.
- Author
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Ning, Yang and Cheng, Guang
- Subjects
- *
CONFIDENCE , *SIGNAL-to-noise ratio , *RANDOM graphs , *CONFIDENCE intervals , *CHEBYSHEV approximation , *NONEXPANSIVE mappings - Abstract
In this paper, we propose a new framework to construct confidence sets for a |$d$| -dimensional unknown sparse parameter |${\boldsymbol \theta }$| under the normal mean model |${\boldsymbol X}\sim N({\boldsymbol \theta },\sigma ^{2}\bf{I})$|. A key feature of the proposed confidence set is its capability to account for the sparsity of |${\boldsymbol \theta }$| , thus named as sparse confidence set. This is in sharp contrast with the classical methods, such as the Bonferroni confidence intervals and other resampling-based procedures, where the sparsity of |${\boldsymbol \theta }$| is often ignored. Specifically, we require the desired sparse confidence set to satisfy the following two conditions: (i) uniformly over the parameter space, the coverage probability for |${\boldsymbol \theta }$| is above a pre-specified level; (ii) there exists a random subset |$S$| of |$\{1,...d\}$| such that |$S$| guarantees the pre-specified true negative rate for detecting non-zero |$\theta _{j}$| 's. To exploit the sparsity of |${\boldsymbol \theta }$| , we allow the confidence interval for |$\theta _{j}$| to degenerate to a single point 0 for any |$j\notin S$|. Under this new framework, we first consider whether there exist sparse confidence sets that satisfy the above two conditions. To address this question, we establish a non-asymptotic minimax lower bound for the non-coverage probability over a suitable class of sparse confidence sets. The lower bound deciphers the role of sparsity and minimum signal-to-noise ratio (SNR) in the construction of sparse confidence sets. Furthermore, under suitable conditions on the SNR, a two-stage procedure is proposed to construct a sparse confidence set. To evaluate the optimality, the proposed sparse confidence set is shown to attain a minimax lower bound of some properly defined risk function up to a constant factor. Finally, we develop an adaptive procedure to the unknown sparsity. Numerical studies are conducted to verify the theoretical results. [ABSTRACT FROM AUTHOR]
- Published
- 2023
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