For the Gaussian sequence model, we obtain nonasymptotic minimax rates of estimation of the linear, quadratic and the ℓ2-norm functionals on classes of sparse vectors and construct optimal estimators ...

Robert A. Pollak, Terence J. Wales, Estimation of Complete Demand Systems from Household Budget Data: The Linear and Quadratic Expenditure Systems, The American ...

Examples of Nonparametric Statistics In the first example, consider a financial analyst who wishes to estimate the value at risk (VaR) of an investment. The analyst gathers earnings data from ...