Abstract
Lower bounds are given for probabilistic error subject to a mean squared error constraint. Consequences for the expected length of variable length confidence intervals centred on adaptive estimators are given. It is shown that in many contexts centring confidence intervals on adaptive estimators must lead either to poor coverage probability or unnecessarily long intervals.
Citation
T. Tony Cai. Mark G. Low. "Adaptive estimation of linear functionals under different performance measures." Bernoulli 11 (2) 341 - 358, April 2005. https://doi.org/10.3150/bj/1116340298
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