Estimating a density under order restrictions: Nonasymptotic minimax risk
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Let us consider the class of all unimodal densities defined on some interval of length L and bounded by H; we shall study the minimax risk over this class, when we estimate using n i.i.d. observations, the loss being measured by the \({\mathbb{L}}^ 1\) distance between the estimator and the true density. We shall prove that if \(S=Log(HL+1)\), upper and lower bounds for the risk are of the form \(C(S/n)^{1/3}\) and the ratio between those bounds is smaller than 44 when S/n is smaller than \(220^{-1}\).
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