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arxiv: 1408.3536 · v4 · pith:NR76PI65new · submitted 2014-08-15 · 🧮 math.ST · stat.TH

Adaptive testing on a regression function at a point

classification 🧮 math.ST stat.TH
keywords functionregressionadaptivenullpointproblemrestrictiontesting
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We consider the problem of inference on a regression function at a point when the entire function satisfies a sign or shape restriction under the null. We propose a test that achieves the optimal minimax rate adaptively over a range of H\"{o}lder classes, up to a $\log\log n$ term, which we show to be necessary for adaptation. We apply the results to adaptive one-sided tests for the regression discontinuity parameter under a monotonicity restriction, the value of a monotone regression function at the boundary and the proportion of true null hypotheses in a multiple testing problem.

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