scientific article; zbMATH DE number 1420699
As stated in the preface, ``this book is an extended version of a set of lecture notes ... for the ... course `Applications of Empirical Process Theory', which ... was intended for students with a master of sciences in mathematics or statistics. Accordingly, the book provides an introduction into basic notions and results of modern empirical process theory and some of its applications for readers without previous knowledge in these areas. After a warming up in Chapter 1, Introduction, the necessary material on empirical processes is presented in the five chapters: 2. Notation and Definitions, 3. Uniform Laws of Large Numbers, 5. Increments of Empirical Processes, 6. Central Limit Theorems, and 8. The Non-I.I.D. Case. Among the concepts discussed here are different types of entropy and their bounds, maximal and exponential inequalities, weighted sums, the chaining technique, symmetrization and asymptotic equicontinuity of empirical processes. Weak convergence and central limit theorems for empirical processes are touched upon only briefly in the short Chapter 6, and applications of this central part of the theory appear only sporadically elsewhere in the book. Instead, the focus is on applications to the almost sure behavior of maximum likelihood and least squares estimators, mainly in nonparametric statistical models. These topics are covered extensively in the six chapters: 4. First Applications: Consistency, 7. Rates of Convergence for Maximum Likelihood Estimators, 9. Rates of Convergence for Least Squares Estimators, 10. Penalties and Sieves, 11. Some Applications to Semiparametric Models, and 12. M-Estimators, with many illustrative examples included. The main aim in this part of the book is to reveal the relations between the asymptotic almost sure behavior of M-type estimators and the complexity of the parameter space of the estimation problem. It is still noticeable that this text is based on lecture notes prepared for an advanced course in a graduate programm. The author's aim is not to develop a complete abstract theory but to demonstrate the usefulness of basic results from empirical process theory for the study of the asymptotic almost sure behavior of certain selected classes of estimators. This restricted goal is achieved quite well and with reasonable completeness, though the book is not entirely self-contained. The measurability problem (which \textit{is} a problem for empirical processes with large parameter spaces, though of a technical nature) is purposely ignored, for instance, and for most of the models considered, in the examples the existence and computation of maximum likelihood estimators are also not discussed. On the other hand, there is a guide to the literature in the Notes and Problems and Complements sections at the end of each chapter which helps the beginner to pave his way into the vast amount of published material on empirical processes and their applications. If such a beginner is mainly interested in applications to almost sure results for M-type estimators, then this book will be a good starting-point for him.
- Worst-case estimation for econometric models with unobservable components
- Convergence rates for smoothing spline estimators in varying coefficient models
- High-dimensional additive modeling
- Model selection in nonparametric regression
- Metric and probabilistic information associated with Fredholm integral equations of the first kind
- Estimating multiplicative and additive hazard functions by kernel methods
- Direct importance estimation for covariate shift adaptation
- Partially linear structure identification in generalized additive models with NP-dimensionality
- A new approach to estimator selection
- Adaptive risk bounds in unimodal regression
- A uniform \(L^1\) law of large numbers for functions of i.i.d. random variables that are translated by a consistent estimator
- Risk estimators for choosing regularization parameters in ill-posed problems -- properties and limitations
- Covering numbers for bounded variation functions
- Shrinkage variable selection and estimation in proportional hazards models with additive structure and high dimensionality
- Adaptation in log-concave density estimation
- Convex models, MLE and misspecification
- Rates of convergence of posterior distributions.
- Strong convergence of estimators in nonlinear autoregressive models
- How well can a regression function be estimated if the distribution of the (random) design is concentrated on a finite set?
- Consistent covariate selection and post model selection inference in semiparametric regression.
- Nonparametric regression with current status data
- Optimal aggregation of classifiers in statistical learning.
- Weak convergence and empirical processes. With applications to statistics
- Convergence of nonparametric functional regression estimates with functional responses
- On the empirical estimation of integral probability metrics
- Oracle inequalities for cross-validation type procedures
- Global rates of convergence of the MLE for multivariate interval censoring
- General oracle inequalities for model selection
- Jump estimation in inverse regression
- Theoretical properties of the log-concave maximum likelihood estimator of a multidimensional density
- Convergence of functional \(k\)-nearest neighbor regression estimate with functional responses
- Semiparametric additive transformation model under current status data
- Least squares after model selection in high-dimensional sparse models
- Rho-estimators revisited: general theory and applications
- The landscape of empirical risk for nonconvex losses
- Robust Bayes-like estimation: rho-Bayes estimation
- Convergence rates for the generalized Fréchet mean via the quadruple inequality
- On efficiency of the plug-in principle for estimating smooth integrated functionals of a nonincreasing density
- Oracle posterior contraction rates under hierarchical priors
- A penalized likelihood approach for efficiently estimating a partially linear additive transformation model with current status data
- Set structured global empirical risk minimizers are rate optimal in general dimensions
- The estimation for the general additive-multiplicative hazard model using the length-biased survival data
- Sampling discretization of integral norms
- High-dimensional quantile varying-coefficient models with dimension reduction
- Nonparametric regression in nonstandard spaces
- A non-asymptotic approach for model selection via penalization in high-dimensional mixture of experts models
- A sieve stochastic gradient descent estimator for online nonparametric regression in Sobolev ellipsoids
- Asymptotic properties of semiparametric \(M\)-estimators with multiple change points
- Distribution-free robust linear regression
- On least squares estimation under heteroscedastic and heavy-tailed errors
- Isotonic regression with unknown permutations: statistics, computation and adaptation
- Sampling discretization and related problems
- Convergence rates of deep ReLU networks for multiclass classification
- Minoration via mixed volumes and Cover's problem for general channels
- The limiting behavior of isotonic and convex regression estimators when the model is misspecified
- Convergence of linear functionals of the Grenander estimator under misspecification
- Sampling discretization error of integral norms for function classes
- Robust finite mixture regression for heterogeneous targets
- Conditional probability estimation based classification with class label missing at random
- A Bayesian nonparametric approach to log-concave density estimation
- Efficient estimation in single index models through smoothing splines
- Semiparametric \(M\)-estimation with non-smooth criterion functions
- Convergence rates of least squares regression estimators with heavy-tailed errors
- Regression models for group testing: identifiability and asymptotics
- Isotonic regression in general dimensions
- Mean estimation and regression under heavy-tailed distributions: A survey
- M-estimators for regression with changing scale
- Nonparametric quasi-maximum likelihood estimation for Gaussian locally stationary processes
- Efficient independent component analysis
- Density estimation with stagewise optimization of the empirical risk
- Statistical estimation with model selection
- A weighted localization of halfspace depth and its properties
- Confidence sets in sparse regression
- Calibration of self-decomposable Lévy models
- Efficient semiparametric estimation in generalized partially linear additive models for longitudinal/clustered data
- On the uniform convergence of empirical norms and inner products, with application to causal inference
- Simultaneous adaptation to the margin and to complexity in classification
- Optimal third root asymptotic bounds in the statistical estimation of thresholds
- A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options
- Rate-optimal estimation for a general class of nonparametric regression models with unknown link functions
- On the rate of convergence of the maximum likelihood estimator in Brownian semimartingale models
- Concentration inequalities and asymptotic results for ratio type empirical processes
- Convergence of algorithms for reconstructing convex bodies and directional measures
- Convergence and sparsity of Lasso and group Lasso in high-dimensional generalized linear models
- Inference in finite state space non parametric hidden Markov models and applications
- Exact adaptive pointwise drift estimation for multidimensional ergodic diffusions
- SCAD-penalized regression in additive partially linear proportional hazards models with an ultra-high-dimensional linear part
- A solution to Hammer's X-ray reconstruction problem
- Classifiers of support vector machine type with \(\ell_1\) complexity regularization
- Nonparametric curve estimation with missing data: a general empirical process approach
- On the strong consistency of asymptotic M-estimators
- Upper functions for \(\mathbb{L}_{p}\)-norms of Gaussian random fields
- Complex sampling designs: uniform limit theorems and applications
- General \(M\)-estimator processes and their \(m\) out of \(n\) bootstrap with functional nuisance parameters
- On the rate of convergence of a deep recurrent neural network estimate in a regression problem with dependent data
- Iterative isotonic regression
- Optimal classification and nonparametric regression for functional data
- Global rates of convergence of the MLEs of log-concave and \(s\)-concave densities
- Approximation and estimation of s-concave densities via Rényi divergences
- Posterior contraction rate for non-parametric Bayesian estimation of the dispersion coefficient of a stochastic differential equation
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