Multiscale inference about a density

Dümbgen, Lutz; Walther, Günther

Ann. Statist., Tome 36 (2008) no. 1, p. 1758-1785 / Harvested from Project Euclid

Résumé

We introduce a multiscale test statistic based on local order statistics and spacings that provides simultaneous confidence statements for the existence and location of local increases and decreases of a density or a failure rate. The procedure provides guaranteed finite-sample significance levels, is easy to implement and possesses certain asymptotic optimality and adaptivity properties.

Publié le : 2008-08-15
Classification: Exponential inequality, modes, monotone failure rate, multiple test, order statistics, spacings, subexponential increments, sub-Gaussian tails, 62G07, 62G10, 62G15, 62G20, 62G30

@article{1216237299,
     author = {D\"umbgen, Lutz and Walther, G\"unther},
     title = {Multiscale inference about a density},
     journal = {Ann. Statist.},
     volume = {36},
     number = {1},
     year = {2008},
     pages = { 1758-1785},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1216237299}
}

Dümbgen, Lutz; Walther, Günther. Multiscale inference about a density. Ann. Statist., Tome 36 (2008) no. 1, pp.  1758-1785. http://gdmltest.u-ga.fr/item/1216237299/