Adaptive robust confidence intervals
自适应稳健置信区间
This paper studies the construction of adaptive confidence intervals under Huber’s contamination model when the contamination proportion is unknown. For the robust confidence interval of a Gaussian mean, we show that the optimal length of an adaptive interval must be exponentially wider than that of a nonadaptive one. An optimal construction is achieved through simultaneous uncertainty quantification of quantiles at all levels. The results are further extended beyond the…