Approximation by log-concave distributions, with applications to regression

DOI10.1214/10-AOS853MaRDI QIDQ548533zbMATH OpenOpenAlexFDO

Authors Lutz Dümbgen, Richard Samworth, Dominic Schuhmacher

Publication date 29 June 2011

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

Full work available at URL https://arxiv.org/abs/1002.3448

zbMATH Keywords

isotonic regressionprojectionconvex supportMallows distanceweak semicontinuity

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Linear regression; mixed models (62J05) Estimation in multivariate analysis (62H12) Approximations to statistical distributions (nonasymptotic) (62E17)

Abstract: We study the approximation of arbitrary distributions $P$ on $d$-dimensional space by distributions with log-concave density. Approximation means minimizing a Kullback--Leibler-type functional. We show that such an approximation exists if and only if $P$ has finite first moments and is not supported by some hyperplane. Furthermore we show that this approximation depends continuously on $P$ with respect to Mallows distance $D_1(cdot,cdot)$. This result implies consistency of the maximum likelihood estimator of a log-concave density under fairly general conditions. It also allows us to prove existence and consistency of estimators in regression models with a response $Y=mu(X)+epsilon$, where $X$ and $epsilon$ are independent, $mu(cdot)$ belongs to a certain class of regression functions while $epsilon$ is a random error with log-concave density and mean zero.

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Cited in

(45)

• Convergence of linear functionals of the Grenander estimator under misspecification
• A new computational framework for log-concave density estimation
• Independent component analysis via nonparametric maximum likelihood estimation
• A Unifying Tutorial on Approximate Message Passing
• Editorial: Special issue on ``Nonparametric inference under shape constraints
• Inference for Local Parameters in Convexity Constrained Models
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Uses Software

• LogConcDEAD
• logcondens

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