Global rates of convergence in log-concave density estimation

DOI10.1214/16-AOS1480zbMATH Open1360.62157arXiv1404.2298WikidataQ90906732 ScholiaQ90906732MaRDI QIDQ510698FDOQ510698

Authors: Arlene K. H. Kim, Richard Samworth 

Publication date: 13 February 2017

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: The estimation of a log-concave density on $mathbb{R}^d$ represents a central problem in the area of nonparametric inference under shape constraints. In this paper, we study the performance of log-concave density estimators with respect to global loss functions, and adopt a minimax approach. We first show that no statistical procedure based on a sample of size $n$ can estimate a log-concave density with respect to the squared Hellinger loss function with supremum risk smaller than order $n^{-4/5}$, when $d=1$, and order $n^{-2/(d+1)}$ when $dgeq2$. In particular, this reveals a sense in which, when $dgeq3$, log-concave density estimation is fundamentally more challenging than the estimation of a density with two bounded derivatives (a problem to which it has been compared). Second, we show that for $dleq3$, the Hellinger $epsilon$-bracketing entropy of a class of log-concave densities with small mean and covariance matrix close to the identity grows like $maxepsilo{n}^{-d/2},epsilo{n}^{-(d-1)}$ (up to a logarithmic factor when $d=2$). This enables us to prove that when $dleq3$ the log-concave maximum likelihood estimator achieves the minimax optimal rate (up to logarithmic factors when $d=2,3$) with respect to squared Hellinger loss.

Full work available at URL: https://arxiv.org/abs/1404.2298

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zbMATH Keywords

density estimationmaximum likelihood estimationlog-concavitybracketing entropyglobal loss function

Mathematics Subject Classification ID

Point estimation (62F10) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Measures of information, entropy (94A17)

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