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

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

Authors: 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

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zbMATH Keywords

minimaxnonparametricequivalencemean integrated squared errorinfinite supportblockwise shrinkageinfinitely differentiablenot absolutely integrable

Mathematics Subject Classification ID

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

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• Oracle inequalities and nonparametric function estimation
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Uses Software

• EBayesThresh

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