A law of the iterated logarithm for Grenander's estimator

DOI10.1016/J.SPA.2016.04.012zbMATH Open1351.60032arXiv1502.00320OpenAlexW1904541856WikidataQ46172498 ScholiaQ46172498MaRDI QIDQ335664FDOQ335664

Authors: Lutz Dümbgen, Malcolm Wolff, Jon A. Wellner 

Publication date: 2 November 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: In this note we prove the following law of the iterated logarithm for the Grenander estimator of a monotone decreasing density: If $f(t_0)>0$, $f^{\prime }(t_0)<0$, and $f^{\prime }$ is continuous in a neighborhood of $t_0$, then �egin{eqnarray*} limsup_{n ightarrow infty} left ( frac{n}{2log log n} ight )^{1/3} ( widehat{f}_n (t_0 ) - f(t_0) ) = left| f(t_0) f'(t_0)/2 ight|^{1/3} 2M end{eqnarray*} almost surely where $Mequivsu{p}_{gincalG}{T}_g=(3/4{)}^{1/3}$ and $T_{g}equivmbox{argmax}_{u}g(u)-u^2$; here $calG$ is the two-sided Strassen limit set on $R$. The proof relies on laws of the iterated logarithm for local empirical processes, Groeneboom's switching relation, and properties of Strassen's limit set analogous to distributional properties of Brownian motion.

Full work available at URL: https://arxiv.org/abs/1502.00320

Recommendations

• On the Grenander estimator at zero
• Asymptotic behavior of the grenander estimator at density flat regions
• Grenander functionals and Cauchy's formula
• Uniform central limit theorems for the Grenander estimator
• The limit distribution of the \(L_{\infty}\)-error of Grenander-type estimators

zbMATH Keywords

law of iterated logarithmGrenander estimatorlocal empirical processmonotone densityStrassen limit setstrong invariance theorem

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic properties of nonparametric inference (62G20) Asymptotic distribution theory in statistics (62E20) Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17)

Cites Work

• Weak convergence and empirical processes. With applications to statistics
• Limit distribution theory for maximum likelihood estimation of a log-concave density
• Title not available (Why is that?)
• Multiply monotone functions and their Laplace transforms
• Title not available (Why is that?)
• Cube root asymptotics
• On the Grenander estimator at zero
• Nonparametric estimation under shape constraints. Estimators, algorithms and asymptotics
• Title not available (Why is that?)
• An invariance principle for the law of the iterated logarithm
• Gaussian approximation of local empirical processes indexed by functions
• Title not available (Why is that?)
• Estimation of a convex function: Characterizations and asymptotic theory.
• Title not available (Why is that?)
• Estimating a monotone density from censored observations
• A canonical process for estimation of convex functions: the ``invelope of integrated Brownian motion \(+t^ 4\).
• Title not available (Why is that?)
• A strong invariance theorem for the tail empirical process
• Functional laws of the iterated logarithm for the partial sums of i.i.d. random variables in the asymmetric stable law
• Functional laws of the iterated logarithm for local empirical processes indexed by sets
• Computing confidence intervals for log-concave densities
• A uniform functional law of the logarithm for the local empirical process.
• Chernoff's density is log-concave
• Title not available (Why is that?)
• Estimation for Distributions with Monotone Failure Rate

Cited In (6)

• A conversation with Jon Wellner
• Berry-Esseen bounds for Chernoff-type nonstandard asymptotics in isotonic regression
• Moderate deviations and nonparametric inference for monotone functions
• Title not available (Why is that?)
• Estimation of a monotone density in \(s\)-sample biased sampling models
• The limiting behavior of isotonic and convex regression estimators when the model is misspecified

This page was built for publication: A law of the iterated logarithm for Grenander's estimator

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q335664)