Information bounds for inverse problems with application to deconvolution and Lévy models

DOI10.1214/14-AIHP627MaRDI QIDQ902884zbMATH OpenFDO

Authors Mathias Trabs

Publication date 4 January 2016

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1307.6610, https://projecteuclid.org/euclid.aihp/1445432055

zbMATH Keywords

semiparametric efficiencydeconvolutionwhite noise modelnonlinear ill-posed inverse problemLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Theory of statistical experiments (62B15) White noise theory (60H40)

Abstract: If a functional in an inverse problem can be estimated with parametric rate, then the minimax rate gives no information about the ill-posedness of the problem. To have a more precise lower bound, we study semiparametric efficiency in the sense of H'ajek-Le Cam for functional estimation in regular indirect models. These are characterized as models that can be locally approximated by a linear white noise model that is described by the generalized score operator. A convolution theorem for regular indirect models is proved. This applies to a large class of statistical inverse problems, which is illustrated for the prototypical white noise and deconvolution model. It is especially useful for nonlinear models. We discuss in detail a nonlinear model of deconvolution type where a L'evy process is observed at low frequency, concluding an information bound for the estimation of linear functionals of the jump measure.

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Cited in

(6)

• Bernstein-von Mises theorems for statistical inverse problems. II: Compound Poisson processes
• Irregular identification of structural models with nonparametric unobserved heterogeneity
• Estimation and Calibration of Lévy Models via Fourier Methods
• Quantile estimation for Lévy measures
• Efficient nonparametric inference for discretely observed compound Poisson processes
• LAN property for an ergodic diffusion with jumps

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