Nonparametric estimation by convex programming

DOI10.1214/08-AOS654MaRDI QIDQ834340zbMATH OpenWikidataFDO

Authors Anatoli Juditsky, Arkadi Nemirovski

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/0908.3108

zbMATH Keywords

convex optimizationoracle inequalitiesminimax estimationestimation of linear functionalsPE tomography

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Convex programming (90C25)

Abstract: The problem we concentrate on is as follows: given (1) a convex compact set $X$ in ${mathbbR}^n$, an affine mapping $xmapstoA(x)$, a parametric family $p_{mu}(cdot)$ of probability densities and (2) $N$ i.i.d. observations of the random variable $omega$, distributed with the density $p_{A(x)}(cdot)$ for some (unknown) $xinX$, estimate the value $g^{T}x$ of a given linear form at $x$. For several families $p_{mu}(cdot)$ with no additional assumptions on $X$ and $A$, we develop computationally efficient estimation routines which are minimax optimal, within an absolute constant factor. We then apply these routines to recovering $x$ itself in the Euclidean norm.

Recommendations

• Optimal rates of convergence for convex set estimation from support functions
• Adaptive estimation of planar convex sets
• Nonparametric estimation of convex models via mixtures
• Computing Maximum Likelihood Estimators of Convex Density Functions
• Estimating linear and quadratic forms via indirect observations

Cites work

• scientific article; zbMATH DE number 439380 (Why is no real title available?)
• scientific article; zbMATH DE number 3844864 (Why is no real title available?)
• scientific article; zbMATH DE number 3862231 (Why is no real title available?)
• scientific article; zbMATH DE number 3911491 (Why is no real title available?)
• scientific article; zbMATH DE number 46694 (Why is no real title available?)
• scientific article; zbMATH DE number 48302 (Why is no real title available?)
• scientific article; zbMATH DE number 1522808 (Why is no real title available?)
• scientific article; zbMATH DE number 4197203 (Why is no real title available?)
• A note on nonparametric estimation of linear functionals.
• All of Nonparametric Statistics
• Approximation dans les espaces m�triques et th�orie de l'estimation
• Asymptotically Minimax Adaptive Estimation. I: Upper Bounds. Optimally Adaptive Estimates
• Geometrizing rates of convergence. II
• Introduction to Nonparametric Regression
• Lectures on modern convex optimization. Analysis, algorithms, and engineering applications
• Minimax risk over hyperrectangles, and implications
• Minimax theory of image reconstruction
• On spatially adaptive estimation of nonparametric regression
• Optimal filtering of square-integrable signals in Gaussian noise
• Renormalization exponents and optimal pointwise rates of convergence
• Sharp adaptive estimation of linear functionals.
• Smoothing methods in statistics
• Statistical estimation and optimal recovery
• Stochastic curve estimation
• Wavelets, approximation, and statistical applications

Cited in

(22)

• A novel method for non-probabilistic convex modelling based on data from practical engineering
• Estimating a Convex Function in Nonparametric Regression
• Statistical Inference via Convex Optimization
• On polyhedral estimation of signals via indirect observations
• Near-optimality of linear recovery from indirect observations
• Nonlinear estimation based on conversion-sample optimization
• Nonparametric estimation of convex models via mixtures
• Near-optimal recovery of linear and \(N\)-convex functions on unions of convex sets
• Hypothesis testing by convex optimization
• An asymptotic property of nonlinear estimators arising as solutions to a certain class of convex programming problems
• Nonparametric least squares estimation of a multivariate convex regression function
• Adaptive estimation of planar convex sets
• On sequential hypotheses testing via convex optimization
• On deconvolution of distribution functions
• Estimating linear functionals of a sparse family of Poisson means
• Estimation from nonlinear observations via convex programming with application to bilinear regression
• On Design of Polyhedral Estimates in Linear Inverse Problems
• Multidimensional linear functional estimation in sparse Gaussian models and robust estimation of the mean
• Nonparametric frontier estimation by linear programming
• Augmented minimax linear estimation
• NONPARAMETRIC MAXIMUM LIKELIHOOD ESTIMATION OF A CONCAVE RECEIVER OPERATING CHARACTERISTIC CURVE VIA GEOMETRIC PROGRAMMING
• Estimating linear and quadratic forms via indirect observations

This page was built for publication: Nonparametric estimation by convex programming

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q834340)