Honest adaptive confidence bands and self-similar functions

Abstract

Confidence bands are confidence sets for an unknown function f, containing all functions within some sup-norm distance of an estimator. In the density estimation, regression, and white noise models, we consider the problem of constructing adaptive confidence bands, whose width contracts at an optimal rate over a range of Hölder classes. While adaptive estimators exist, in general adaptive confidence bands do not, and to proceed we must place further conditions on f. We discuss previous approaches to this issue, and show it is necessary to restrict f to fundamentally smaller classes of functions. We then consider the self-similar functions, whose Hölder norm is similar at large and small scales. We show that such functions may be considered typical functions of a given Hölder class, and that the assumption of self-similarity is both necessary and sufficient for the construction of adaptive bands.