Efficient estimation of functionals in nonparametric boundary models

DOI10.3150/15-BEJ768MaRDI QIDQ520687zbMATH OpenFDO

Authors Markus Reiß, Leonie Selk

Publication date 5 April 2017

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1407.4229, https://projecteuclid.org/euclid.bj/1486177391

zbMATH Keywords

nonparametric MLEsufficiencysupport estimationcompletenessPoisson point processshape constraintfrontier estimationmonotone boundaryoptional stoppingUMVU

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Abstract: For nonparametric regression with one-sided errors and a boundary curve model for Poisson point processes we consider the problem of efficient estimation for linear functionals. The minimax optimal rate is obtained by an unbiased estimation method which nevertheless depends on a H"older condition or monotonicity assumption for the underlying regression or boundary function. We first construct a simple blockwise estimator and then build up a nonparametric maximum-likelihood approach for exponential noise variables and the point process model. In that approach also non-asymptotic efficiency is obtained (UMVU: uniformly minimum variance among all unbiased estimators).The proofs rely essentially on martingale stopping arguments for counting processes and the point process geometry. The estimators are easily computable and a small simulation study confirms their applicability.

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Cited in

(9)

• Poisson hulls
• Bayesian boundary trend filtering
• Functional estimation and hypothesis testing in nonparametric boundary models
• On lower bounds for the bias-variance trade-off
• Nonparametric Bayesian analysis of the compound Poisson prior for support boundary recovery
• Nonparametric estimation of boundary measures and related functionals: asymptotic results
• Estimation and hypotheses testing in boundary regression models
• Posterior contraction rates for support boundary recovery
• Efficient estimation of monotone boundaries

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