Cube root weak convergence of empirical estimators of a density level set

DOI10.1214/21-AOS2157arXiv2006.02229MaRDI QIDQ6342003FDOQ6342003

Ph. Berthet, John H. J. Einmahl

Publication date: 2 June 2020

Abstract: Given $n$ independent random vectors with common density $f$ on $mathbb{R}^d$, we study the weak convergence of three empirical-measure based estimators of the convex $lambda$-level set $L_{l}ambda$ of $f$, namely the excess mass set, the minimum volume set and the maximum probability set, all selected from a class of convex sets $mathcalA$ that contains $L_{l}ambda$. Since these set-valued estimators approach $L_{l}ambda$, even the formulation of their weak convergence is non-standard. We identify the joint limiting distribution of the symmetric difference of $L_{l}ambda$ and each of the three estimators, at rate $n^{-1/3}$. It turns out that the minimum volume set and the maximum probability set estimators are asymptotically indistinguishable, whereas the excess mass set estimator exhibits "richer" limit behavior. Arguments rely on the boundary local empirical process, its cylinder representation, dimension-free concentration around the boundary of $L_{l}ambda$, and the set-valued argmax of a drifted Wiener process.

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17)

This page was built for publication: Cube root weak convergence of empirical estimators of a density level set

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6342003)