Adaptivity and optimality of the monotone least-squares estimator
Cator, Eric
Bernoulli, Tome 17 (2011) no. 1, p. 714-735 / Harvested from Project Euclid
In this paper, we will consider the estimation of a monotone regression (or density) function in a fixed point by the least-squares (Grenander) estimator. We will show that this estimator is locally asymptotic minimax, in the sense that, for each f0, the attained rate of the probabilistic error is uniform over a shrinking L2-neighborhood of f0 and there is no estimator that attains a significantly better uniform rate over these shrinking neighborhoods. Therefore, it adapts to the individual underlying function, not to a smoothness class of functions. We also give general conditions for which we can calculate a (non-standard) limiting distribution for the estimator.
Publié le : 2011-05-15
Classification:  adaptivity,  least squares,  monotonicity,  optimality
@article{1302009244,
     author = {Cator, Eric},
     title = {Adaptivity and optimality of the monotone least-squares estimator},
     journal = {Bernoulli},
     volume = {17},
     number = {1},
     year = {2011},
     pages = { 714-735},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1302009244}
}
Cator, Eric. Adaptivity and optimality of the monotone least-squares estimator. Bernoulli, Tome 17 (2011) no. 1, pp.  714-735. http://gdmltest.u-ga.fr/item/1302009244/