Adaptation in multivariate log-concave density estimation

DOI10.1214/20-AOS1950zbMATH Open1465.62099arXiv1812.11634OpenAlexW3127801611MaRDI QIDQ2656591FDOQ2656591

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)

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.

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

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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)

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Cited In (10)

• Local continuity of log-concave projection, with applications to estimation under model misspecification
• High-dimensional nonparametric density estimation via symmetry and shape constraints
• A new computational framework for log-concave density estimation
• Adaptive estimation of the mode of a multivariate density
• Nonparametric estimation of multivariate convex-transformed densities
• Shape Constrained Kernel PDF and PMF Estimation
• Confidence Bands for a Log-Concave Density
• Confidence intervals for multiple isotonic regression and other monotone models
• Inference for Local Parameters in Convexity Constrained Models
• A variational inference for the Lévy adaptive regression with multiple kernels

Uses Software

• scar

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