Inconsistency of bootstrap: the Grenander estimator

DOI10.1214/09-AOS777zbMATH Open1202.62057arXiv1010.3825OpenAlexW1980605742MaRDI QIDQ987994FDOQ987994

Authors: Bodhisattva Sen, Moulinath Banerjee, Michael Woodroofe 

Publication date: 24 August 2010

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

Abstract: In this paper, we investigate the (in)-consistency of different bootstrap methods for constructing confidence intervals in the class of estimators that converge at rate $n^{1/3}$. The Grenander estimator, the nonparametric maximum likelihood estimator of an unknown nonincreasing density function $f$ on $[0,infty)$, is a prototypical example. We focus on this example and explore different approaches to constructing bootstrap confidence intervals for $f(t_0)$, where $t_{0}in(0,infty)$ is an interior point. We find that the bootstrap estimate, when generating bootstrap samples from the empirical distribution function $mathbb{F}_n$ or its least concave majorant $ilde{F}_n$, does not have any weak limit in probability. We provide a set of sufficient conditions for the consistency of any bootstrap method in this example and show that bootstrapping from a smoothed version of $ilde{F}_n$ leads to strongly consistent estimators. The $m$ out of $n$ bootstrap method is also shown to be consistent while generating samples from $mathbb{F}_n$ and $ilde{F}_n$.

Full work available at URL: https://arxiv.org/abs/1010.3825

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zbMATH Keywords

empirical distribution functionleast concave majorantsmoothed bootstrapdecreasing density\(m\) out of \(n\) bootstrapnonparametric maximum likelihood estimate

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Nonparametric statistical resampling methods (62G09) Nonparametric tolerance and confidence regions (62G15)

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