2017/06/13 by Billy Fang, Adityanand Guntuboyina, Fang, Billy +1 · 1 citation
Decision Sciences · Mathematics · #Advanced Statistical Methods and Models #FOS: Mathematics #Risk and Portfolio Optimization #Statistical Methods and Inference #Statistics Theory (math.ST)
paper · pdf · doi:10.48550/arxiv.1706.04276
openalex publication_date 2017/06/13 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We consider the problem of estimating the mean of a noisy vector. When the mean lies in a convex constraint set, the least squares projection of the random vector onto the set is a natural estimator. Properties of the risk of this estimator, such as its asymptotic behavior as the noise tends to zero, have been well studied. We instead study the behavior of this estimator under misspecification, that is, without the assumption that the mean lies in the constraint set. For appropriately defined notions of risk in the misspecified setting, we prove a generalization of a low noise characterization of the risk due to Oymak and Hassibi in the case of a polyhedral constraint set. An interesting consequence of our results is that the risk can be much smaller in the misspecified setting than in the well-specified setting. We also discuss consequences of our result for isotonic regression.