A Kiefer-Wolfowitz type of result in a general setting, with an application to smooth monotone estimation

DOI10.1214/14-EJS958MaRDI QIDQ485907zbMATHOpenAlexFDO

Authors Cécile Durot, Hendrik P. Lopuhaä

Publication date 14 January 2015

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1308.0417

zbMATH Keywords

isotonic regressionmonotone regressionleast concave majorantmonotone densitymonotone failure rate

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Estimation in survival analysis and censored data (62N02)

Abstract: We consider Grenander type estimators for monotone functions $f$ in a very general setting, which includes estimation of monotone regression curves, monotone densities, and monotone failure rates. These estimators are defined as the left-hand slope of the least concave majorant $hat{F}_n$ of a naive estimator $F_n$ of the integrated curve $F$ corresponding to $f$. We prove that the supremum distance between $hat{F}_n$ and $F_n$ is of the order $O_p(n^{-1}logn{)}^{2/(4-au)}$, for some $auin[0,4)$ that characterizes the tail probabilities of an approximating process for $F_n$. In typical examples, the approximating process is Gaussian and $au=1$, in which case the convergence rate is $n^{-2/3}(logn{)}^{2/3}$ is in the same spirit as the one obtained by Kiefer and Wolfowitz (1976) for the special case of estimating a decreasing density. We also obtain a similar result for the primitive of $F_n$, in which case $au=2$, leading to a faster rate $n^{-1}logn$, also found by Wang and Woodfroofe (2007). As an application in our general setup, we show that a smoothed Grenander type estimator and its derivative are asymptotically equivalent to the ordinary kernel estimator and its derivative in first order.

Recommendations

• On the estimation of monotone uniform approximations
• On the \(\mathbb L_p\)-error of monotonicity constrained estimators
• scientific article; zbMATH DE number 4021358
• A note on uniform consistency of monotone function estimators
• Estimation of a \(k\)-monotone density: limit distribution theory and the spline connection
• A note on estimating a smooth monotone regression by combining kernel and density estimates
• Uniform estimates of monotone and convex approximation of smooth functions
• On the rate of convergence of the maximum likelihood estimator of a \(k\)-monotone density
• Least squares estimation of a \(k\)-monotone density function

Cites work

• scientific article; zbMATH DE number 3126936 (Why is no real title available?)
• scientific article; zbMATH DE number 48952 (Why is no real title available?)
• scientific article; zbMATH DE number 847282 (Why is no real title available?)
• scientific article; zbMATH DE number 3390139 (Why is no real title available?)
• A Kiefer-Wolfowitz comparison theorem for Wicksell's problem
• A Kiefer-Wolfowitz theorem for convex densities
• An approximation of partial sums of independent RV'-s, and the sample DF. I
• Asymptotically minimax estimation of concave and convex distribution functions
• Asymptotically minimax estimators for distributions with increasing failure rate
• Estimating a smooth monotone regression function
• Estimation of a monotone mean residual life.
• Inconsistency of bootstrap: the Grenander estimator
• Maximum likelihood estimation of a log-concave density and its distribution function: basic properties and uniform consistency
• Monotone nonparametric regression
• On the Distance Between Cumulative Sum Diagram and Its Greatest Convex Minorant for Unequally Spaced Design Points
• On the \(\mathbb L_p\)-error of monotonicity constrained estimators
• On the distance between the empirical process and its concave majorant in a monotone regression framework. (Sur la distance entre le processus empirique et son majorant concave dans un modèle de régression monotone)
• Optimal pointwise adaptive methods in nonparametric estimation
• Smooth estimation of a monotone density
• Testing equality of functions under monotonicity constraints
• The limit distribution of the concave majorant of an empirical distribution function
• The limit process of the difference between the empirical distribution function and its concave majorant

Cited in

(13)

• Convergence of linear functionals of the Grenander estimator under misspecification
• Uniform central limit theorems for the Grenander estimator
• Limit theory in monotone function estimation
• On the \(\mathbb L_p\)-error of monotonicity constrained estimators
• Smoothed isotonic estimators of a monotone baseline hazard in the Cox model
• A unified study of nonparametric inference for monotone functions
• Divide and conquer in nonstandard problems and the super-efficiency phenomenon
• Smooth estimation of a monotone hazard and a monotone density under random censoring
• On nonparametric estimation for cross-sectional sampled data under stationarity
• Refinements of the Kiefer-Wolfowitz theorem and a test of concavity
• Cramér type moderate deviations for the Grenander estimator near the boundaries of the support
• The distance between a naive cumulative estimator and its least concave majorant
• scientific article; zbMATH DE number 7415115 (Why is no real title available?)

Describes a project that uses

Uses Software

• KernSmooth
• logcondens

This page was built for publication: A Kiefer-Wolfowitz type of result in a general setting, with an application to smooth monotone estimation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q485907)