Multiscale inference for multivariate deconvolution

DOI10.1214/17-EJS1355MaRDI QIDQ1676785zbMATH OpenFDO

Authors Konstantin Eckle, Nicolai Bissantz, Holger Dette

Publication date 10 November 2017

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

Full work available at URL https://arxiv.org/abs/1611.05201, https://projecteuclid.org/euclid.ejs/1508983572

zbMATH Keywords

deconvolutionGaussian approximationmodesmultiple testsmultivariate density

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Multivariate distribution of statistics (62H10)

Abstract: In this paper we provide new methodology for inference of the geometric features of a multivariate density in deconvolution. Our approach is based on multiscale tests to detect significant directional derivatives of the unknown density at arbitrary points in arbitrary directions. The multiscale method is used to identify regions of monotonicity and to construct a general procedure for the detection of modes of the multivariate density. Moreover, as an important application a significance test for the presence of a local maximum at a pre-specified point is proposed. The performance of the new methods is investigated from a theoretical point of view and the finite sample properties are illustrated by means of a small simulation study.

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• Sparse covariance matrix estimation in high-dimensional deconvolution
• Multiscale methods for shape constraints in deconvolution: confidence statements for qualitative features
• Data-driven efficient score tests for deconvolution hypotheses
• Optimal regularized hypothesis testing in statistical inverse problems
• Bayesian semiparametric multivariate density deconvolution via stochastic rotation of replicates
• Maximum a posteriori testing in statistical inverse problems
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