Grenander functionals and Cauchy's formula

DOI10.1111/SJOS.12449MaRDI QIDQ4994815zbMATH OpenOpenAlexFDO

Authors Piet Groeneboom

Publication date 22 June 2021

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

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://arxiv.org/abs/1902.08806

zbMATH Keywords

Cauchy's formulaGrenander estimatorintegral statisticssaddle points

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Density estimation (62G07) Order statistics; empirical distribution functions (62G30)

Abstract: Let $hat{f}_n$ be the nonparametric maximum likelihood estimator of a decreasing density. Grenander characterized this as the left-continuous slope of the least concave majorant of the empirical distribution function. For a sample from the uniform distribution, the asymptotic distribution of the $L_2$-distance of the Grenander estimator to the uniform density was derived in Groeneboom and Pyke (1983) by using a representation of the Grenander estimator in terms of conditioned Poisson and gamma random variables. This representation was also used in Groeneboom and Lopuhaa (1993) to prove a central limit result of Sparre Andersen on the number of jumps of the Grenander estimator. Here we extend this to the proof of a general result on integrals of the Grenander estimator. We also correct Groeneboom and Pyke (1983), where the limit distribution of the sums of gamma and Poisson variables on which the conditioning was done did not have the right form. Saddle point methods and Cauchy's formula are important tools in our development.

Recommendations

• The Grenander estimator: A nonasymptotic approach
• Uniform central limit theorems for the Grenander estimator
• Asymptotic normality of the L_k-error of the Grenander estimator
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• On the Grenander estimator at zero

Cited in

(9)

• On efficiency of the plug-in principle for estimating smooth integrated functionals of a nonincreasing density
• Testing convexity of the generalised hazard function
• Asymptotic normality of the L_k-error of the Grenander estimator
• A law of the iterated logarithm for Grenander's estimator
• Uniform central limit theorems for the Grenander estimator
• Asymptotic behavior of the grenander estimator at density flat regions
• Cramér type moderate deviations for the Grenander estimator near the boundaries of the support
• The limit distribution of the \(L_{\infty}\)-error of Grenander-type estimators
• The Grenander estimator: A nonasymptotic approach

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