The limit distribution of the L_-error of Grenander-type estimators

DOI10.1214/12-AOS1015MaRDI QIDQ693739zbMATH OpenOpenAlexFDO

Authors Cécile Durot, Vladimir N. Kulikov, Hendrik P. Lopuhaä

Publication date 10 December 2012

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

Full work available at URL https://arxiv.org/abs/1111.5934, https://projecteuclid.org/euclid.aos/1346850066

zbMATH Keywords

monotone regressionleast concave majorantmonotone densitymonotone failure rateextremal limit theoremsupremum distance

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Asymptotic distribution theory in statistics (62E20)

Abstract: Let $f$ be a nonincreasing function defined on $[0,1]$. Under standard regularity conditions, we derive the asymptotic distribution of the supremum norm of the difference between $f$ and its Grenander-type estimator on sub-intervals of $[0,1]$. The rate of convergence is found to be of order $(n/logn{)}^{-1/3}$ and the limiting distribution to be Gumbel.

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