Locally minimax optimal and dimension-agnostic discrete argmin inference

• URL: http://arxiv.org/abs/2503.21639v2
• Date: Thu, 01 May 2025 15:51:08 GMT
• Title: Locally minimax optimal and dimension-agnostic discrete argmin inference
• Authors: Ilmun Kim, Aaditya Ramdas,
• Abstract summary: This paper tackles a fundamental inference problem: given $n$ observations from a $d$ dimensional vector with unknown mean $boldsymbolmu$, we must form a confidence set for the index corresponding to the smallest component of $boldsymbolmu$.<n>By duality, we reduce this to testing, for each $r$ in $1,ldots,d$, whether $mu_r$ is the smallest.<n>We propose "dimension-agnostic" tests that maintain validity regardless of how $d$ scales with $n$, and regardless of arbitrary ties in $bold
• Score: 33.17951971728784
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: This paper tackles a fundamental inference problem: given $n$ observations from a $d$ dimensional vector with unknown mean $\boldsymbol{\mu}$, we must form a confidence set for the index (or indices) corresponding to the smallest component of $\boldsymbol{\mu}$. By duality, we reduce this to testing, for each $r$ in $1,\ldots,d$, whether $\mu_r$ is the smallest. Based on the sample splitting and self-normalization approach of Kim and Ramdas (2024), we propose "dimension-agnostic" tests that maintain validity regardless of how $d$ scales with $n$, and regardless of arbitrary ties in $\boldsymbol{\mu}$. Notably, our validity holds under mild moment conditions, requiring little more than finiteness of a second moment, and permitting possibly strong dependence between coordinates. In addition, we establish the local minimax separation rate for this problem, which adapts to the cardinality of a confusion set, and show that the proposed tests attain this rate. Furthermore, we develop robust variants that continue to achieve the same minimax rate under heavy-tailed distributions with only finite second moments. Empirical results on simulated and real data illustrate the strong performance of our approach in terms of type I error control and power compared to existing methods.

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