Local continuity of log-concave projection, with applications to estimation under model misspecification
Abstract
The log-concave projection is an operator that maps a d-dimensional distribution P to an approximating log-concave density. Prior work by D{\"u}mbgen et al. (2011) establishes that, with suitable metrics on the underlying spaces, this projection is continuous, but not uniformly continuous. In this work we prove a local uniform continuity result for log-concave projection -- in particular, establishing that this map is locally H{\"o}lder-(1/4) continuous. A matching lower bound verifies that this exponent cannot be improved. We also examine the implications of this continuity result for the empirical setting -- given a sample drawn from a distribution P, we bound the squared Hellinger distance between the log-concave projection of the empirical distribution of the sample, and the log-concave projection of P. In particular, this yields interesting statistical results for the misspecified setting, where P is not itself log-concave.
Cite
@article{arxiv.2002.06117,
title = {Local continuity of log-concave projection, with applications to estimation under model misspecification},
author = {Rina Foygel Barber and Richard J. Samworth},
journal= {arXiv preprint arXiv:2002.06117},
year = {2020}
}