On the risk of convex-constrained least squares estimators under misspecification

  title={On the risk of convex-constrained least squares estimators under misspecification},
  author={Billy Fang and Adityanand Guntuboyina},
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… Expand

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