Adaptation in multivariate log-concave density estimation

DOI10.1214/20-AOS1950MaRDI QIDQ2656591zbMATHOpenAlexFDO

Authors Oliver Y. Feng, Adityanand Guntuboyina, Arlene K. H. Kim, Richard Samworth

Publication date 11 March 2021

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

Full work available at URL https://arxiv.org/abs/1812.11634

zbMATH Keywords

maximum-likelihood estimationlog-concavitybracketing entropycontour separationmultivariate adaption

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Estimation in multivariate analysis (62H12) Inequalities; stochastic orderings (60E15)

Abstract: We study the adaptation properties of the multivariate log-concave maximum likelihood estimator over three subclasses of log-concave densities. The first consists of densities with polyhedral support whose logarithms are piecewise affine. The complexity of such densities~$f$ can be measured in terms of the sum $Gamma(f)$ of the numbers of facets of the subdomains in the polyhedral subdivision of the support induced by $f$. Given $n$ independent observations from a $d$-dimensional log-concave density with $din2,3$, we prove a sharp oracle inequality, which in particular implies that the Kullback--Leibler risk of the log-concave maximum likelihood estimator for such densities is bounded above by $Gamma(f)/n$, up to a polylogarithmic factor. Thus, the rate can be essentially parametric, even in this multivariate setting. For the second type of adaptation, we consider densities that are bounded away from zero on a polytopal support; we show that up to polylogarithmic factors, the log-concave maximum likelihood estimator attains the rate $n^{-4/7}$ when $d=3$, which is faster than the worst-case rate of $n^{-1/2}$. Finally, our third type of subclass consists of densities whose contours are well-separated; these new classes are constructed to be affine invariant and turn out to contain a wide variety of densities, including those that satisfy H"older regularity conditions. Here, we prove another sharp oracle inequality, which reveals in particular that the log-concave maximum likelihood estimator attains a risk bound of order $$ when $d=3$ over the class of $$-H"older log-concave densities with $$, again up to a polylogarithmic factor.

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Cited in

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• Shape Constrained Kernel PDF and PMF Estimation
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