Confidence Sets Based on Sparse Estimators Are Necessarily Large

Details Confidence Sets Based on Sparse Estimators Are Necessarily Large Confidence Sets Based on Sparse Estimators Are Necessarily Large

2007-11-07

arxiv.org/abs/0711.1036v2

Sankhya 71-A (2009), Part 1, 1-18

Mathematics

Statistics Theory

Revision containing correction of some minor errors and typos; some additional remarks added

Scientific paper

Confidence sets based on sparse estimators are shown to be large compared to
more standard confidence sets, demonstrating that sparsity of an estimator
comes at a substantial price in terms of the quality of the estimator. The
results are set in a general parametric or semiparametric framework.

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