Lower bounds for the trade-off between bias and mean absolute deviation

Abstract: In nonparametric statistics, rate-optimal estimators typically balance bias and stochastic error. The recent work on overparametrization raises the question whether rate-optimal estimators exist that do not obey this trade-off. In this work we consider pointwise estimation in the Gaussian white noise model with regression function $f$ in a class of $\beta$-H\"older smooth functions. Let 'worst-case' refer to the supremum over all functions $f$ in the H\"older class. It is shown that any estimator with worst-case bias $\lesssim n^{-\beta/(2\beta+1)}=: \psi_n$ must necessarily also have a worst-case mean absolute deviation that is lower bounded by $\gtrsim \psi_n.$ To derive the result, we establish abstract inequalities relating the change of expectation for two probability measures to the mean absolute deviation.