English

Constructive and consistent estimation of quadratic minimax

Statistics Theory 2024-08-21 v1 Probability Statistics Theory

Abstract

We consider kk square integrable random variables Y1,...,YkY_1,...,Y_k and kk random (row) vectors of length pp, X1,...,XkX_1,...,X_k such that Xi(l)X_i(l) is square integrable for 1ik1\le i\le k and 1lp1\le l\le p. No assumptions whatsoever are made of any relationship between the XiX_i:s and YiY_i:s. We shall refer to each pairing of XiX_i and YiY_i as an environment. We form the square risk functions Ri(β)=E[(YiβXi)2]R_i(\beta)=\mathbb{E}\left[(Y_i-\beta X_i)^2\right] for every environment and consider mm affine combinations of these kk risk functions. Next, we define a parameter space Θ\Theta where we associate each point with a subset of the unique elements of the covariance matrix of (Xi,Yi)(X_i,Y_i) for an environment. Then we study estimation of the argmin\arg\min-solution set of the maximum of a the mm affine combinations the of quadratic risk functions. We provide a constructive method for estimating the entire argmin\arg\min-solution set which is consistent almost surely outside a zero set in Θk\Theta^k. 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.

Keywords

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

R2 v1 2026-06-28T18:17:09.154Z