English

Sharp optimality for density deconvolution with dominating bias

Statistics Theory 2007-06-13 v1 Statistics Theory

Abstract

We consider estimation of the common probability density ff of i.i.d. random variables XiX_i that are observed with an additive i.i.d. noise. We assume that the unknown density ff belongs to a class A\mathcal{A} of densities whose characteristic function is described by the exponent exp(αur)\exp(-\alpha |u|^r) as u|u|\to \infty, where α>0\alpha >0, r>0r>0. The noise density is supposed to be known and such that its characteristic function decays as exp(βus)\exp(-\beta |u|^s), as u|u| \to \infty, where β>0\beta >0, s>0s>0. Assuming that r<sr<s, we suggest a kernel type estimator that is optimal in sharp asymptotical minimax sense on A\mathcal{A} simultaneously under the pointwise and the L2\mathbb{L}_2-risks. The variance of the estimators turns out to be asymptotically negligible w.r.t. its squared bias. For r<s/2r<s/2 we construct a sharp adaptive estimator of ff. We discuss some effects of dominating bias, such as superefficiency of minimax estimators.

Keywords

Cite

@article{arxiv.math/0409471,
  title  = {Sharp optimality for density deconvolution with dominating bias},
  author = {Cristina Butucea and Alexandre B. Tsybakov},
  journal= {arXiv preprint arXiv:math/0409471},
  year   = {2007}
}