Adaptive estimation of and oracle inequalities for probability densities and characteristic functions

DOI10.1214/009053607000000965zbMATH Open1360.62118arXiv0806.2909OpenAlexW2054769542MaRDI QIDQ930649FDOQ930649

Sam Efromovich

Publication date: 1 July 2008

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

Abstract: The theory of adaptive estimation and oracle inequalities for the case of Gaussian-shift--finite-interval experiments has made significant progress in recent years. In particular, sharp-minimax adaptive estimators and exact exponential-type oracle inequalities have been suggested for a vast set of functions including analytic and Sobolev with any positive index as well as for Efromovich--Pinsker and Stein blockwise-shrinkage estimators. Is it possible to obtain similar results for a more interesting applied problem of density estimation and/or the dual problem of characteristic function estimation? The answer is ``yes. In particular, the obtained results include exact exponential-type oracle inequalities which allow to consider, for the first time in the literature, a simultaneous sharp-minimax estimation of Sobolev densities with any positive index (not necessarily larger than 1/2), infinitely differentiable densities (including analytic, entire and stable), as well as of not absolutely integrable characteristic functions. The same adaptive estimator is also rate minimax over a familiar class of distributions with bounded spectrum where the density and the characteristic function can be estimated with the parametric rate.

Full work available at URL: https://arxiv.org/abs/0806.2909

zbMATH Keywords

minimaxnonparametricequivalencemean integrated squared errorinfinite supportblockwise shrinkageinfinitely differentiablenot absolutely integrable

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20)

Cites Work

• Title not available (Why is that?)
• Adaptive wavelet estimation: A block thresholding and oracle inequality approach
• Title not available (Why is that?)
• Adapting to Unknown Smoothness via Wavelet Shrinkage
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Nonlinear time series. Nonparametric and parametric methods
• Empirical Bayes selection of wavelet thresholds
• Title not available (Why is that?)
• A Primer on Statistical Distributions
• Title not available (Why is that?)
• All of Nonparametric Statistics
• Nonparametric curve estimation. Methods, theory, and applications
• Title not available (Why is that?)
• Weighted uniform consistency of kernel density estimators.
• Asymptotic equivalence of density estimation and Gaussian white noise
• Equivalence theory for density estimation, Poisson processes and Gaussian white noise with drift
• Title not available (Why is that?)
• Title not available (Why is that?)
• Optimal filtering of square-integrable signals in Gaussian noise
• General empirical Bayes wavelet methods and exactly adaptive minimax estimation
• Asymptotic nonequivalence of nonparametric experiments when the smoothness index is \(1/2\)
• On the second order minimax estimation of distribution functions
• Estimation of the density of regression errors
• Density Estimation Under Random Censorship and Order Restrictions
• On density estimation in the view of Kolmogorov's ideas in approximation theory
• Decoupling inequalities for the tail probabilities of multivariate \(U\)- statistics
• Title not available (Why is that?)
• Title not available (Why is that?)
• Nonparametric estimation of smooth probability densities in \(L_ 2\)
• Optimal rates and constants in \(L_ 2\)-minimax estimation of probability density functions
• Asymptotically efficient estimation for analytic distributions
• Nonparametric Estimation of a Density of Unknown Smoothness
• Title not available (Why is that?)
• Adaptive density estimation using the blockwise Stein method
• Adaptive estimation of and oracle inequalities for probability densities and characteristic functions
• Adaptive minimax estimation of infinitely differentiable functions.
• Title not available (Why is that?)
• Title not available (Why is that?)
• Nonparametric estimation of a probability density on a Riemannian manifold using Fourier expansions
• Block thresholding for density estimation: local and global adaptivity
• Estimation of analytic functions
• Oracle inequalities for Efromovich--Pinsker blockwise estimates
• Title not available (Why is that?)
• Penalized blockwise Stein's method, monotone oracles and sharp adaptive estimation
• Estimation of Distribution Density Belonging to a Class of Entire Functions
• A lower-bound oracle inequality for a blockwise-shrinkage estimate
• Adaptive Estimation of Distribution Density in the Basis of Algebraic Polynomials

Cited In (18)

• Structural adaptation via \(\mathbb L_p\)-norm oracle inequalities
• Oracle inequalities and nonparametric function estimation
• Pointwise adaptive estimation of a multivariate density under independence hypothesis
• Adaptive estimation over anisotropic functional classes via oracle approach
• Oracle inequalities for probability density estimations
• Lower bound for estimation of Sobolev densities of order less \(1/2\)
• Estimating the logarithm of characteristic function and stability parameter for symmetric stable laws
• Adaptation to lowest density regions with application to support recovery
• Minimax bounds for Besov classes in density estimation
• Theory of adaptive estimation
• Adaptive confidence sets in \(L^2\)
• Honest and adaptive confidence sets in \(L_p\)
• \(\mathbb{L}_{p}\) adaptive estimation of an anisotropic density under independence hypothesis
• Model selection for density estimation with \(\mathbb L_2\)-loss
• A sharp minimax lower bound for the nonparametric estimation of Sobolev densities of order \(1/2\)
• Multivariate density estimation under sup-norm loss: oracle approach, adaptation and independence structure
• Sobolev-Hermite versus Sobolev nonparametric density estimation on \(\mathbb{R}\)
• Adaptive estimation of and oracle inequalities for probability densities and characteristic functions

Uses Software

• EBayesThresh

   Recommendations

• Oracle inequalities for probability density estimations 👍 👎
• Adaptive density estimation using the blockwise Stein method 👍 👎
• Oracle inequalities and adaptive estimation in the convolution structure density model 👍 👎
• Lower bound for estimation of Sobolev densities of order less \(1/2\) 👍 👎
• On adaptive minimax density estimation on \(\mathbb R^d\) 👍 👎

This page was built for publication: Adaptive estimation of and oracle inequalities for probability densities and characteristic functions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q930649)