Large-Sample Inference for Log-Spline Models
Stone, Charles J.
Ann. Statist., Tome 18 (1990) no. 1, p. 717-741 / Harvested from Project Euclid
Let $f$ be a continuous and positive unknown density on a known compact interval $\mathscr{Y}$. Let $F$ denote the distribution function of $f$ and let $Q = F^{-1}$ denote its quantile function. A finite-parameter exponential family model based on $B$-splines is constructed. Maximum-likelihood estimation of the parameters of the model based on a random sample of size $n$ from $f$ yields estimates $\hat{f, F}$ and $\hat{Q}$ of $f, F$ and $Q$, respectively. Under mild conditions, if the number of parameters tends to infinity in a suitable manner as $n \rightarrow \infty$, these estimates achieve the optimal rate of convergence. The asymptotic behavior of the corresponding confidence bounds is also investigated. In particular, it is shown that the standard errors of $\hat{F}$ and $\hat{Q}$ are asymptotically equal to those of the usual empirical distribution function and empirical quantile function.
Publié le : 1990-06-14
Classification:  Functional inference,  exponential families,  $B$-splines,  maximum likelihood,  rates of convergence,  62G05,  62F12
@article{1176347622,
     author = {Stone, Charles J.},
     title = {Large-Sample Inference for Log-Spline Models},
     journal = {Ann. Statist.},
     volume = {18},
     number = {1},
     year = {1990},
     pages = { 717-741},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176347622}
}
Stone, Charles J. Large-Sample Inference for Log-Spline Models. Ann. Statist., Tome 18 (1990) no. 1, pp.  717-741. http://gdmltest.u-ga.fr/item/1176347622/