The Grenader Estimator: A Nonasymptotic Approach
Birge, Lucien
Ann. Statist., Tome 17 (1989) no. 1, p. 1532-1549 / Harvested from Project Euclid
In this paper we shall investigate some nonasymptotic properties of the Grenander estimator of a decreasing density $f$. This estimator is defined as the slope of the smallest concave majorant of the empirical c.d.f. It will be proved that its risk, measured with $\mathbb{L}^1$-loss, is bounded by some functional depending on $f$ and the number $n$ of observations. For classes of uniformly bounded densities with a common compact support, upper bounds for the functional are shown to agree with older results about the minimax risk over these classes. The asymptotic behavior of the functional as $n$ goes to infinity is also in accordance with the known asymptotic performances of the Grenander estimator.
Publié le : 1989-12-14
Classification:  Decreasing densities,  Grenander estimator,  local nonasymptotic risk,  62G05,  60E15
@article{1176347380,
     author = {Birge, Lucien},
     title = {The Grenader Estimator: A Nonasymptotic Approach},
     journal = {Ann. Statist.},
     volume = {17},
     number = {1},
     year = {1989},
     pages = { 1532-1549},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176347380}
}
Birge, Lucien. The Grenader Estimator: A Nonasymptotic Approach. Ann. Statist., Tome 17 (1989) no. 1, pp.  1532-1549. http://gdmltest.u-ga.fr/item/1176347380/