Linear functional estimation under multiplicative measurement error

DOI10.3150/22-BEJ1540MaRDI QIDQ6160975zbMATH OpenFDO

Authors Sergio Brenner Miguel, F. Comte, Jan Johannes

Publication date 2 June 2023

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2111.14920, https://projecteuclid.org/journals/bernoulli/volume-29/issue-3/Linear-functional-estimation-under-multiplicative-measurement-error/10.3150/22-BEJ1540.full

zbMATH Keywords

Mellin transformadaptationinverse problemlinear functional modelminimax theorymultiplicative measurement errorMellin-Sobolev space

Mathematics Subject Classification ID

Nonparametric inference (62Gxx) Inference from stochastic processes (62Mxx) Survival analysis and censored data (62Nxx)

Abstract: We study the non-parametric estimation of the value $heta(f)$ of a linear functional evaluated at an unknown density function f with support on $R_{+}$ based on an i.i.d. sample with multiplicative measurement errors. The proposed estimation procedure combines the estimation of the Mellin transform of the density $f$ and a regularisation of the inverse of the Mellin transform by a spectral cut-off. In order to bound the mean squared error we distinguish several scenarios characterised through different decays of the upcoming Mellin transforms and the smoothnes of the linear functional. In fact, we identify scenarios, where a non-trivial choice of the upcoming tuning parameter is necessary and propose a data-driven choice based on a Goldenshluger-Lepski method. Additionally, we show minimax-optimality over Mellin-Sobolev spaces of the estimator.

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