A law of the iterated logarithm for Grenander's estimator

DOI10.1016/J.SPA.2016.04.012MaRDI QIDQ335664zbMATH OpenOpenAlexWikidataFDO

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)

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

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)

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.

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Cited in

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• A conversation with Jon Wellner
• Berry-Esseen bounds for Chernoff-type nonstandard asymptotics in isotonic regression
• Moderate deviations and nonparametric inference for monotone functions
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