Nonparametric estimation by convex programming

DOI10.1214/08-AOS654zbMATH Open1173.62024arXiv0908.3108WikidataQ57392906 ScholiaQ57392906MaRDI QIDQ834340FDOQ834340

Anatoli Juditsky, Arkadi Nemirovski

Publication date: 19 August 2009

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

Abstract: The problem we concentrate on is as follows: given (1) a convex compact set $X$ in ${mathbbR}^n$, an affine mapping $xmapstoA(x)$, a parametric family $p_{mu}(cdot)$ of probability densities and (2) $N$ i.i.d. observations of the random variable $omega$, distributed with the density $p_{A(x)}(cdot)$ for some (unknown) $xinX$, estimate the value $g^{T}x$ of a given linear form at $x$. For several families $p_{mu}(cdot)$ with no additional assumptions on $X$ and $A$, we develop computationally efficient estimation routines which are minimax optimal, within an absolute constant factor. We then apply these routines to recovering $x$ itself in the Euclidean norm.

Full work available at URL: https://arxiv.org/abs/0908.3108

zbMATH Keywords

convex optimizationoracle inequalitiesminimax estimationestimation of linear functionalsPE tomography

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Convex programming (90C25)

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Cited In (19)

• Estimating a Convex Function in Nonparametric Regression
• A novel method for non-probabilistic convex modelling based on data from practical engineering
• Statistical Inference via Convex Optimization
• On polyhedral estimation of signals via indirect observations
• Near-optimality of linear recovery from indirect observations
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• On deconvolution of distribution functions
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• Nonparametric frontier estimation by linear programming
• Augmented minimax linear estimation
• NONPARAMETRIC MAXIMUM LIKELIHOOD ESTIMATION OF A CONCAVE RECEIVER OPERATING CHARACTERISTIC CURVE VIA GEOMETRIC PROGRAMMING
• Estimating linear and quadratic forms via indirect observations

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