High-Confident Nonparametric Fixed-Width Uncertainty Intervals and Applications to Projected High-Dimensional Data and Common Mean Estimation
Year: 2019
Type: preprint
Abstract: Nonparametric two-stage procedures to construct fixed-width confidence intervals are studied to quantify uncertainty. It is shown that the validity of the random central limit theorem (RCLT) accompanied by a consistent and asymptotically unbiased estimator of the asymptotic variance already guarantees consistency and first as well as second order efficiency of the two-stage procedures. This holds under the common asymptotics where the length of the confidence interval tends to $0$ as well as under the novel proposed high-confident asymptotics where the confidence level tends to $1$. The approach is motivated by and applicable to data analysis from distributed big data with non-negligible costs of data queries. The following problems are discussed: Fixed-width intervals for a the mean, for a projection when observing high-dimensional data and for the common mean when using nonlinear common mean estimators under order constraints. The procedures are investigated by simulations and illustrated by a real data analysis.
Source: arXiv (Cornell University)
Authors: Chang, Yuan-Tsung, Steland, Ansgar
Institutions: RWTH Aachen University, Mejiro University
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
Funders: Keio University, RWTH Aachen University
OpenAlex ID: W2978459332