An active K-step subsampling estimator for high-dimensional individualized thresholds achieves the parametric rate (s log d/N)^(1/2) under a smoothness condition, matching the new N-budget minimax lower bound up to a logarithmic factor.
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Active Subsampling for Measurement-Constrained M-Estimation of Individualized Thresholds with High-Dimensional Data
An active K-step subsampling estimator for high-dimensional individualized thresholds achieves the parametric rate (s log d/N)^(1/2) under a smoothness condition, matching the new N-budget minimax lower bound up to a logarithmic factor.