Adaptive estimation in the nonparametric random coefficients binary choice model by needlet thresholding

DOI10.1214/17-EJS1383MaRDI QIDQ1697478zbMATH OpenFDO

Authors Eric Gautier, E. Le Pennec

Publication date 20 February 2018

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1106.3503, https://projecteuclid.org/euclid.ejs/1518426111

zbMATH Keywords

adaptationdiscrete choice modelsinverse problemsneedletsrandom coefficientsminimax rate optimalitydata-driven thresholding

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Minimax procedures in statistical decision theory (62C20) General harmonic expansions, frames (42C15)

Abstract: In the random coefficients binary choice model, a binary variable equals 1 iff an index $$ is positive.The vectors $X$ and $$ are independent and belong to the sphere $mathbb{S}^{d-1}$ in $mathbb{R}^d$.We prove lower bounds on the minimax risk for estimation of the density $$ over Besov bodies where the loss is a power of the $L^p(mathbb{S}^{d-1})$ norm for $1lepleinfty$. We show that a hard thresholding estimator based on a needlet expansion with data-driven thresholds achieves these lower bounds up to logarithmic factors.

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Cited in

(6)

• Rate-optimal nonparametric estimation for random coefficient regression models
• Varying random coefficient models
• Adaptive global thresholding on the sphere
• Relaxing Monotonicity in Endogenous Selection Models and Application to Surveys
• Nonparametric needlet estimation for partial derivatives of a probability density function on the d -torus
• Adaptive estimation in the linear random coefficients model when regressors have limited variation

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