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CHHK21 Code

This version of the CHHK21 code is cleaned and simplified from the full version in the private repository. Namely, we simplify in the following ways:

  1. Assume sampling distribution of the estimator (i.e. output from sample-aggregate) is sub-Gaussian
  2. Assume the analyst wants only confidence intervals and not the full covariance matrix. To this end, the algorithm estimates only the variances (rather than the full covariance matrix).
  • coinpress_generalized.py: code for CoinPress mean estimation
  • algorithm.py: overall algorithm from CHHK21
  • ols_demo.py: demonstration of how to run the algorithm for an OLS estimator
  • sample_and_aggregate.py: code for sample-aggregate and bag of little bootstraps
  • utils.py: a few utilities used in other files

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