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Characterizing the minimax rate of nonparametric regressi...
Akshay Prasadan, Matey Neykov · 2024-01-16 · via math.ST updates on arXiv.org

We quantify the minimax rate for a nonparametric regression model over a star-shaped function class $\mathcal{F}$ with bounded diameter. We obtain a minimax rate of ${\varepsilon^{\ast}}^2\wedge\mathrm{diam}(\mathcal{F})^2$ where \[\varepsilon^{\ast} =\sup\{\varepsilon\ge 0:n\varepsilon^2 \le \log M_{\mathcal{F}}^{\operatorname{loc}}(\varepsilon,c)\},\] where $\log M_{\mathcal{F}}^{\operatorname{loc}}(\cdot, c)$ is the local metric entropy of $\mathcal{F}$, $c$ is some absolute constant scaling down the entropy radius, and our loss function is the squared population $L_2$ distance over our input space $\mathcal{X}$. In contrast to classical works on the topic [cf. Yang and Barron, 1999], our results do not require functions in $\mathcal{F}$ to be uniformly bounded in sup-norm. In fact, we propose a condition that simultaneously generalizes boundedness in sup-norm and the so-called $L$-sub-Gaussian assumption that appears in the prior literature. In addition, we prove that our estimator is adaptive to the true point in the convex-constrained case, and to the best of our knowledge this is the first such estimator in this general setting. This work builds on the Gaussian sequence framework of Neykov [2022] using a similar algorithmic scheme to achieve the minimax rate. Our algorithmic rate also applies with sub-Gaussian noise. We illustrate the utility of this theory with examples including multivariate monotone functions, linear functionals over ellipsoids, and Lipschitz classes.