Rho-estimators revisited: general theory and applications

DOI10.1214/17-AOS1675zbMATH Open1407.62169arXiv1605.05051MaRDI QIDQ1990601FDOQ1990601

Authors: L. Birgé, Yannick Baraud 

Publication date: 25 October 2018

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

Abstract: Following Baraud, Birg'e and Sart (2017), we pursue our attempt to design a robust universal estimator of the joint ditribution of $n$ independent (but not necessarily i.i.d.) observations for an Hellinger-type loss. Given such observations with an unknown joint distribution $mathbfP$ and a dominated model $mathscrQ$ for $mathbfP$, we build an estimator $widehatmathbfP$ based on $mathscrQ$ and measure its risk by an Hellinger-type distance. When $mathbfP$ does belong to the model, this risk is bounded by some quantity which relies on the local complexity of the model in a vicinity of $mathbfP$. In most situations this bound corresponds to the minimax risk over the model (up to a possible logarithmic factor). When $mathbfP$ does not belong to the model, its risk involves an additional bias term proportional to the distance between $mathbfP$ and $mathscrQ$, whatever the true distribution $mathbfP$. From this point of view, this new version of $ho$-estimators improves upon the previous one described in Baraud, Birg'e and Sart (2017) which required that $mathbfP$ be absolutely continuous with respect to some known reference measure. Further additional improvements have been brought as compared to the former construction. In particular, it provides a very general treatment of the regression framework with random design as well as a computationally tractable procedure for aggregating estimators. We also give some conditions for the Maximum Likelihood Estimator to be a $ho$-estimator. Finally, we consider the situation where the Statistician has at disposal many different models and we build a penalized version of the $ho$-estimator for model selection and adaptation purposes. In the regression setting, this penalized estimator not only allows to estimate the regression function but also the distribution of the errors.

Full work available at URL: https://arxiv.org/abs/1605.05051

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zbMATH Keywords

density estimationrobust estimationmaximum likelihood estimatorsmetric dimensionstatistical modelsVC-classesregression with random design\(\rho\)-estimation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Nonparametric robustness (62G35) Minimax procedures in statistical decision theory (62C20)

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Cited In (14)

• From robust tests to Bayes-like posterior distributions
• Robust Bayes-like estimation: rho-Bayes estimation
• A robust alternative to the maximum likelihood method: \(\rho\)-estimation
• Tests and estimation strategies associated to some loss functions
• Robust estimation of a regression function in exponential families
• Robust tests for model selection
• Robust nonparametric regression based on deep ReLU neural networks
• A new method for estimation and model selection: \(\rho\)-estimation
• Estimating a density, a hazard rate, and a transition intensity via the \(\rho\)-estimation method
• Rho-estimators for shape restricted density estimation
• Mean estimation and regression under heavy-tailed distributions: A survey
• Estimating a regression function in exponential families by model selection
• Finite sample properties of parametric MMD estimation: robustness to misspecification and dependence
• Title not available (Why is that?)

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