Nonparametric estimation of multivariate convex-transformed densities

DOI10.1214/10-AOS840zbMATH Open1204.62058arXiv0911.4151OpenAlexW3105994413WikidataQ42124558 ScholiaQ42124558MaRDI QIDQ620567FDOQ620567

Authors: Arseni Seregin, Jon A. Wellner 

Publication date: 19 January 2011

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

Abstract: We study estimation of multivariate densities $p$ of the form $p(x)=h(g(x))$ for $xinmathbb{R}^d$ and for a fixed monotone function $h$ and an unknown convex function $g$. The canonical example is $h(y)=e^{-y}$ for $yinmathbbR$; in this case, the resulting class of densities [mathcal {P}(e^{-y})={p=exp(-g):g is convex}] is well known as the class of log-concave densities. Other functions $h$ allow for classes of densities with heavier tails than the log-concave class. We first investigate when the maximum likelihood estimator $hatp$ exists for the class $mathcalP(h)$ for various choices of monotone transformations $h$, including decreasing and increasing functions $h$. The resulting models for increasing transformations $h$ extend the classes of log-convex densities studied previously in the econometrics literature, corresponding to $h(y)=exp(y)$. We then establish consistency of the maximum likelihood estimator for fairly general functions $h$, including the log-concave class $mathcalP(e^{-y})$ and many others. In a final section, we provide asymptotic minimax lower bounds for the estimation of $p$ and its vector of derivatives at a fixed point $x_0$ under natural smoothness hypotheses on $h$ and $g$. The proofs rely heavily on results from convex analysis.

Full work available at URL: https://arxiv.org/abs/0911.4151

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zbMATH Keywords

consistencymaximum likelihoodnonparametric estimationlower boundsunimodalmode estimationshape constraintsstrongly unimodallog-concave density estimationqualitative assumptions

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Estimation in multivariate analysis (62H12)

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Cited In (42)

• Local continuity of log-concave projection, with applications to estimation under model misspecification
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Uses Software

• logcondens

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