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Instance-Optimal Adaptive Location 估计 (Estimation) via Multiscale Mid-Summaries
Instance-Optimal Adaptive Location Estimation via Multiscale Mid-Summaries

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Location estimation exhibits markedly different finite-sample behavior across noise distributions: regular families typically yield root-\(n\) rates, whereas compactly supported laws may admit faster, boundary-driven rates. We question whether a single estimator, without knowledge of the density's shape, can adapt to the instance-wise optimal estimation rate, as an oracle that knows the underlying location family can. For a known location family with symmetric log-concave noise density \(f\), the optimal location estimation error with sample size \(n\) under failure probability \(δ\) is known to be Le Cam's two-point rate: \[ \sup\left\{r>0:\mathsf{H}^2\left(f_0, f_{2r}\right)\lesssim \frac{\log(1/δ)}{n}\right\}. \] When the location family is unknown, we propose a shape-agnostic estimator that attains this oracle benchmark simultaneously over all symmetric unimodal densities with non-decreasing hazard rates, a class strictly broader than symmetric log-concave distributions. We establish that the Hellinger-driven two-point rate can be characterized solely by a multiscale function of dyadic quantile gaps. This new structural connection between Hellinger divergence and quantile geometry motivates a simple estimation procedure that aggregates sample mid-summaries with carefully designed data-dependent weights. The resulting estimator is finite-sample instance-optimal and runs in only \(O(\log(n))\) time on sorted samples.

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