Deconvolution with unknown error distribution

DOI10.1214/08-AOS652MaRDI QIDQ834341zbMATH OpenFDO

Authors Jan Johannes

Publication date 19 August 2009

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0705.3482

zbMATH Keywords

Fourier transformkernel estimationdeconvolutionoptimal rate of convergenceSobolev spacesource conditionRosenblatt-Parzen kernel estimatorspectral cut off

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42A38)

Abstract: We consider the problem of estimating a density $f_X$ using a sample $Y_1,\mathrm{...},Y_n$ from $f_Y=f_{X}star{f}_{epsilon}$, where $f_{epsilon}$ is an unknown density. We assume that an additional sample $epsilo{n}_1,\mathrm{...},epsilo{n}_m$ from $f_{epsilon}$ is observed. Estimators of $f_X$ and its derivatives are constructed by using nonparametric estimators of $f_Y$ and $f_{epsilon}$ and by applying a spectral cut-off in the Fourier domain. We derive the rate of convergence of the estimators in case of a known and unknown error density $f_{epsilon}$, where it is assumed that $f_X$ satisfies a polynomial, logarithmic or general source condition. It is shown that the proposed estimators are asymptotically optimal in a minimax sense in the models with known or unknown error density, if the density $f_X$ belongs to a Sobolev space $H_{mathbhp}$ and $f_{epsilon}$ is ordinary smooth or supersmooth.

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