Stein shrinkage and second-order efficiency for semiparametric estimation of the shift

DOI10.3103/S1066530707010048zbMATH Open1283.62062arXivmath/0509230OpenAlexW2101404415MaRDI QIDQ2440596FDOQ2440596

Arnak S. Dalalyan

Publication date: 19 March 2014

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

Abstract: The problem of estimating the shift (or, equivalently, the center of symmetry) of an unknown symmetric and periodic function $f$ observed in Gaussian white noise is considered. Using the blockwise Stein method, a penalized profile likelihood with a data-driven penalization is introduced so that the estimator of the center of symmetry is defined as the maximizer of the penalized profile likelihood. This estimator has the advantage of being independent of the functional class to which the signal $f$ si assumed to belong and, furthermore, is shown to be semiparametrically adaptive and efficient. Moreover, the second-order term of the risk expansion of the proposed estimator is proved to behave at least as well as the second-order term of the risk of the best possible estimator using monotone smoothing filter. Under mild assumptions, this estimator is shown to be second-order minimax sharp adaptive over the whole scale of Sobolev balls with smoothness $$. Thus, these results extend those of cite{DGT}, where second-order asymptotic minimaxity is proved for an estimator depending on the functional class containing $f$ and $$ is required.

Full work available at URL: https://arxiv.org/abs/math/0509230

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zbMATH Keywords

semiparametric estimationadaptive smoothingsecond-order efficiencyStein shrinkageexact minimax asymptoticspenalized profile likelihood

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cited In (6)

• Semi-parametric second-order efficient estimation of the period of a signal
• Estimation of the distribution of random shifts deformation
• Penalized maximum likelihood and semiparametric second-order efficiency
• Minimax hypothesis testing for curve registration
• Semiparametric shift estimation based on the cumulated periodogram for non-regular functions
• Curve registration by nonparametric goodness-of-fit testing

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