Bayes and maximum likelihood for L^1-Wasserstein deconvolution of Laplace mixtures

DOI10.1007/S10260-017-0400-4zbMATH Open1396.62076arXiv1708.05445OpenAlexW2747769079MaRDI QIDQ1663617FDOQ1663617

Authors: C. Scricciolo 

Publication date: 21 August 2018

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Abstract: We consider the problem of recovering a distribution function on the real line from observations additively contaminated with errors following the standard Laplace distribution. Assuming that the latent distribution is completely unknown leads to a nonparametric deconvolution problem. We begin by studying the rates of convergence relative to the $L^2$-norm and the Hellinger metric for the direct problem of estimating the sampling density, which is a mixture of Laplace densities with a possibly unbounded set of locations: the rate of convergence for the Bayes' density estimator corresponding to a Dirichlet process prior over the space of all mixing distributions on the real line matches, up to a logarithmic factor, with the $n^{-3/8}lo{g}^{1/8}n$ rate for the maximum likelihood estimator. Then, appealing to an inversion inequality translating the $L^2$-norm and the Hellinger distance between general kernel mixtures, with a kernel density having polynomially decaying Fourier transform, into any $L^p$-Wasserstein distance, $pgeq1$, between the corresponding mixing distributions, provided their Laplace transforms are finite in some neighborhood of zero, we derive the rates of convergence in the $L^1$-Wasserstein metric for the Bayes' and maximum likelihood estimators of the mixing distribution. Merging in the $L^1$-Wasserstein distance between Bayes and maximum likelihood follows as a by-product, along with an assessment on the stochastic order of the discrepancy between the two estimation procedures.

Full work available at URL: https://arxiv.org/abs/1708.05445

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zbMATH Keywords

entropymaximum likelihoodrate of convergenceWasserstein distancedeconvolutionDirichlet processHellinger distanceposterior distributionsieveLaplace mixture

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20)

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• Improved rates for Wasserstein deconvolution with ordinary smooth error in dimension one
• Bayesian Kantorovich deconvolution in finite mixture models

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