Adaptive Estimation of Quadratic Functionals in Nonparametric Instrumental Variable Models

01/28/2021 ∙ by Christoph Breunig, et al. ∙ 0

This paper considers adaptive estimation of quadratic functionals in the nonparametric instrumental variables (NPIV) models. Minimax estimation of a quadratic functional of a NPIV is an important problem in optimal estimation of a nonlinear functional of an ill-posed inverse regression with an unknown operator using one random sample. We first show that a leave-one-out, sieve NPIV estimator of the quadratic functional proposed by <cit.> attains a convergence rate that coincides with the lower bound previously derived by <cit.>. The minimax rate is achieved by the optimal choice of a key tuning parameter (sieve dimension) that depends on unknown NPIV model features. We next propose a data driven choice of the tuning parameter based on Lepski's method. The adaptive estimator attains the minimax optimal rate in the severely ill-posed case and in the regular, mildly ill-posed case, but up to a multiplicative √(log n) in the irregular, mildly ill-posed case.

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