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

DOI10.1214/14-EJS958zbMATH Open1309.62065arXiv1308.0417OpenAlexW2963518408MaRDI QIDQ485907FDOQ485907

Authors: Cécile Durot, Hendrik P. Lopuhaä 

Publication date: 14 January 2015

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

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.

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

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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)

Cites Work

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Cited In (13)

• Convergence of linear functionals of the Grenander estimator under misspecification
• Limit theory in monotone function estimation
• Smoothed isotonic estimators of a monotone baseline hazard in the Cox model
• Refinements of the Kiefer-Wolfowitz theorem and a test of concavity
• The distance between a naive cumulative estimator and its least concave majorant
• Divide and conquer in nonstandard problems and the super-efficiency phenomenon
• Smooth estimation of a monotone hazard and a monotone density under random censoring
• Cramér type moderate deviations for the Grenander estimator near the boundaries of the support
• A unified study of nonparametric inference for monotone functions
• Title not available (Why is that?)
• Uniform central limit theorems for the Grenander estimator
• On the \(\mathbb L_p\)-error of monotonicity constrained estimators
• On nonparametric estimation for cross-sectional sampled data under stationarity

Uses Software

• KernSmooth
• logcondens

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