Piecewise convex function estimation: Pilot estimators

DOI10.1214/AOS/1030741086MaRDI QIDQ1383095zbMATH OpenOpenAlexFDO

Authors Kurt S. Riedel

Publication date 21 September 1998

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1803.03899

zbMATH Keywords

change pointsoptimal rate of convergenceconvexitykernel estimatesshape constraintsfunction estimationmean integrated square errorpilot estimators

Mathematics Subject Classification ID

Density estimation (62G07) Numerical computation using splines (65D07) Numerical smoothing, curve fitting (65D10) Signal detection and filtering (aspects of stochastic processes) (60G35)

Abstract: Given noisy data, function estimation is considered when the unknown function is known a priori to consist of a small number of regions where the function is either convex or concave. When the number of regions is unknown, the model selection problem is to determine the number of convexity change points. For kernel estimates in Gaussian noise, the number of false change points is evaluated as a function of the smoothing parameter. To ensure that the number of false convexity change points tends to zero, the smoothing level must be larger than is generically optimal for minimizing the mean integrated square error (MISE). A two-stage estimator is proposed and shown to achieve the optimal rate of convergence of the MISE. In the first-stage, the number and location of the change points is estimated using strong smoothing. In the second-stage, a constrained smoothing spline fit is performed with the smoothing level chosen to minimize the MISE. The imposed constraint is that a single change point occur in a region about each empirical change point from the first-stage estimate. This constraint is equivalent to the requirement that the third derivative of the second-stage estimate have a single sign in a small neighborhood about each first-stage change point. The change points from the second-stage are in a neighborhood of the first-stage change points, but need not be at the identical locations.

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Cited in

(2)

• On the consistency of kernel density estimates under modality constraints
• Piecewise Convex Function Estimation and Model Selection

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