Change-point estimation from indirect observations. 1. Minimax complexity
Goldenshluger, A. ; Juditsky, A. ; Tsybakov, A. B. ; Zeevi, A.
Annales de l'I.H.P. Probabilités et statistiques, Tome 44 (2008), p. 787-818 / Harvested from Numdam
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Cet article a pour but d'étudier le problème d'estimation non-paramétrique de singularités d'un signal à partir des observations indirectes et bruitées. Les singularités que nous considérons ici sont des points de discontinuité (points de rupture) du signal ou de ses derivées. Nous étudions le modèle où l'on dispose d'observations indirectes d'une transformée linéaire du signal dans le bruit blanc gaussien. Le problème de l'estimation est analysé dans un cadre minimax. Nous obtenons des minorations du risque minimax et nous proposons des estimateurs qui sont optimaux en vitesse de convergence.

We consider the problem of nonparametric estimation of signal singularities from indirect and noisy observations. Here by singularity, we mean a discontinuity (change-point) of the signal or of its derivative. The model of indirect observations we consider is that of a linear transform of the signal, observed in white noise. The estimation problem is analyzed in a minimax framework. We provide lower bounds for minimax risks and propose rate-optimal estimation procedures.

Publié le : 2008-01-01
DOI : https://doi.org/10.1214/07-AIHP110
Classification:  62G05,  62G20 
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     author = {Goldenshluger, A. and Juditsky, A. and Tsybakov, Alexandre B. and Zeevi, A.},
     title = {Change-point estimation from indirect observations. 1. Minimax complexity},
     journal = {Annales de l'I.H.P. Probabilit\'es et statistiques},
     volume = {44},
     year = {2008},
     pages = {787-818},
     doi = {10.1214/07-AIHP110},
     mrnumber = {2453845},
     zbl = {1206.62048},
     language = {en},
     url = {http://dml.mathdoc.fr/item/AIHPB_2008__44_5_787_0}
}

Goldenshluger, A.; Juditsky, A.; Tsybakov, A. B.; Zeevi, A. Change-point estimation from indirect observations. 1. Minimax complexity. Annales de l'I.H.P. Probabilités et statistiques, Tome 44 (2008) pp. 787-818. doi : 10.1214/07-AIHP110. http://gdmltest.u-ga.fr/item/AIHPB_2008__44_5_787_0/

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