Constructive and consistent estimation of quadratic minimax
Abstract
We consider square integrable random variables and random (row) vectors of length , such that is square integrable for and . No assumptions whatsoever are made of any relationship between the :s and :s. We shall refer to each pairing of and as an environment. We form the square risk functions for every environment and consider affine combinations of these risk functions. Next, we define a parameter space where we associate each point with a subset of the unique elements of the covariance matrix of for an environment. Then we study estimation of the -solution set of the maximum of a the affine combinations the of quadratic risk functions. We provide a constructive method for estimating the entire -solution set which is consistent almost surely outside a zero set in . This method is computationally expensive, since it involves solving polynomials of general degree. To overcome this, we define another approximate estimator that also provides a consistent estimation of the solution set based on the bisection method, which is computationally much more efficient. We apply the method to worst risk minimization in the setting of structural equation models.
Cite
@article{arxiv.2408.10218,
title = {Constructive and consistent estimation of quadratic minimax},
author = {Philip Kennerberg and Ernst C. Wit},
journal= {arXiv preprint arXiv:2408.10218},
year = {2024}
}
Comments
arXiv admin note: substantial text overlap with arXiv:2307.15350