High-Confident Nonparametric Fixed-Width Uncertainty Intervals and Applications to Projected High-Dimensional Data and Common Mean Estimation
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 as well as under the novel proposed high-confident asymptotics where the confidence level tends to . 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.
Cite
@article{arxiv.1910.02829,
title = {High-Confident Nonparametric Fixed-Width Uncertainty Intervals and Applications to Projected High-Dimensional Data and Common Mean Estimation},
author = {Yuan-Tsung Chang and Ansgar Steland},
journal= {arXiv preprint arXiv:1910.02829},
year = {2019}
}