Adaptation in multivariate log-concave density estimation (Q2656591)

The research belongs to the domain of multivariate adaptation behavior in log-concave density estimation. Denote by \(\mathcal{F_d}\) the class of upper semicontinuous, log-concave densities on \(\mathbb{R}^d\) and assume that \(X_1,\dots,X_n\) are i.i.d random vectors with density \(\rho_0 \in \mathcal{F_d} \). The aim of the article is to investigate the potential of the log-concave maximum likelihood estimator to adopt to three different types of subclasses of \(\mathcal{F_d}\). In the second section, the structure of log-\(k\)-affine functions with polyhedral support is introduced and the results on adaptation to log-\(k\)-affine densities with polyhedral support are presented. In the third section, one considers densities from \(\mathcal{F_d}\), close to a log-concave density with polyhedral support but without being log-\(k\)-affine. A sharp oracle inequality for the log-concave maximum likelihood estimator is shown and discussed. In the fourth section, a subclass of \(\mathcal{F_d}\), the so-called densities with well-separated contours is defined. The main result in this section is then a sharp oracle inequality for the performance of the log-concave maximum likelihood estimator over this subclass. Proofs of the main results in the second section are given in the APPENDIX part. All other proofs are contained in the supplement to this paper, \url{doi:10.1214/20-A=S1950SUPP; .pdf}.