Honest and adaptive confidence sets in $L_{p}$
Honest and adaptive confidence sets in $L_{p}$
We consider the problem of constructing honest and adaptive confidence sets in $L_{p}$-loss (with $p\geq1$ and $p<\infty$) over sets of Sobolev-type classes, in the setting of non-parametric Gaussian regression. The objective is to adapt the diameter of the confidence sets with respect to the smoothness degree of the underlying function, …