Adaptation bounds for confidence bands under self-similarity

Abstract

We derive bounds on the scope for a confidence band to adapt to the unknown regularity of a nonparametric function that is observed with noise, such as a regression function or density, under the self-similarity condition proposed by Giné and Nickl (Ann. Statist. 38 (2010) 1122–1170). We find that adaptation can only be achieved up to a term that depends on the choice of the constant used to define self-similarity, and that this term becomes arbitrarily large for conservative choices of the self-similarity constant. We construct a confidence band that achieves this bound, up to a constant term that does not depend on the self-similarity constant. Our results suggest that care must be taken in choosing and interpreting the constant that defines self-similarity, since the dependence of adaptive confidence bands on this constant cannot be made to disappear asymptotically.