Adaptive Nonparametric Peak Estimation
Muller, Hans-Georg
Ann. Statist., Tome 17 (1989) no. 1, p. 1053-1069 / Harvested from Project Euclid
It is shown that consistent estimates of the optimal bandwidths for kernel estimators of location and size of a peak of a regression function are available. Such estimates yield the same joint asymptotic distribution of location and size of a peak as the optimal bandwidths themselves. Therefore data-adaptive efficient estimation of peaks is possible. In order to prove this result, the weak convergence of a two-dimensional stochastic process with appropriately scaled bandwidths as arguments to a Gaussian limiting process is shown. A practical method which leads to consistent estimates of the optimal bandwidths and is therefore asymptotically efficient is proposed and its finite sample properties are investigated by simulation.
Publié le : 1989-09-14
Classification:  Kernel estimator,  choice of bandwidths,  efficiency,  weak convergence,  tightness,  Gaussian process,  size and location of peaks,  nonparametric regression,  62G05,  62G20
@article{1176347255,
     author = {Muller, Hans-Georg},
     title = {Adaptive Nonparametric Peak Estimation},
     journal = {Ann. Statist.},
     volume = {17},
     number = {1},
     year = {1989},
     pages = { 1053-1069},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176347255}
}
Muller, Hans-Georg. Adaptive Nonparametric Peak Estimation. Ann. Statist., Tome 17 (1989) no. 1, pp.  1053-1069. http://gdmltest.u-ga.fr/item/1176347255/