Rectangular Hull Confidence Regions for Multivariate Parameters

Abstract

We introduce three notions of multivariate median bias, namely, rectilinear, Tukey, and orthant median bias. Each of these median biases is zero under a suitable notion of multivariate symmetry. We study the coverage probabilities of rectangular hull of $B$ independent multivariate estimators, with special attention to the number of estimators $B$ needed to ensure a miscoverage of at most $\alpha$. It is proved that for estimators with zero orthant median bias, we need $B\geq c\log_2(d/\alpha)$ for some constant $c > 0$. Finally, we show that there exists an asymptotically valid (non-trivial) confidence region for a multivariate parameter $\theta_0$ if and only if there exists a (non-trivial) estimator with an asymptotic orthant median bias of zero.