Minimax rate adaptive estimation over continuous hyper-parameters
We study minimax-rate adaptive estimation for density classes indexed by continuous hyper-parameters. The classes are assumed to be partially ordered in terms of inclusion relationship. Under a mild condition on the minimax risks, we show that a minimax-rate adaptive estimator can be constructed for the classes
This preprint was published as Yuhong Yang, "Minimax Rate Adaptive Estimation Over Continuous Hyper-Parameters", IEEE Transactions on Information Theory (2001): 2081-2085, doi: 10.1109/18.930947.