Estimation of Integral Functionals of a Density
Birge, Lucien ; Massart, Pascal
Ann. Statist., Tome 23 (1995) no. 6, p. 11-29 / Harvested from Project Euclid
Let $\varphi$ be a smooth function of $k + 2$ variables. We shall investigate in this paper the rates of convergence of estimators of $T(f) = \int\varphi(f(x), f'(x), \ldots, f^{(k)}(x), x) dx$ when $f$ belongs to some class of densities of smoothness $s$. We prove that, when $s \geq 2k + \frac{1}{4}$, one can define an estimator $\hat{T}_n$ of $T(f)$, based on $n$ i.i.d. observations of density $f$ on the real line, which converges at the semiparametric rate $1/ \sqrt n$. On the other hand, when $s < 2k + \frac{1}{4}, T(f)$ cannot be estimated at a rate faster than $n^{-\gamma}$ with $\gamma = 4(s - k)/\lbrack 4s + 1\rbrack$. We shall also provide some extensions to the multidimensional case. Those results extend previous works of Levit, of Bickel and Ritov and of Donoho and Nussbaum on estimation of quadratic functionals.
Publié le : 1995-02-14
Classification:  Quadratic functionals of a density,  semiparametric estimation,  kernel estimators,  integral functionals,  nonparametric rates of convergence,  62G05,  62G07
@article{1176324452,
     author = {Birge, Lucien and Massart, Pascal},
     title = {Estimation of Integral Functionals of a Density},
     journal = {Ann. Statist.},
     volume = {23},
     number = {6},
     year = {1995},
     pages = { 11-29},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176324452}
}
Birge, Lucien; Massart, Pascal. Estimation of Integral Functionals of a Density. Ann. Statist., Tome 23 (1995) no. 6, pp.  11-29. http://gdmltest.u-ga.fr/item/1176324452/