The Annals of Statistics

Estimation of unimodal densities without smoothness assumptions

Lucien Birgé

Abstract

The Grenander estimator of a decreasing density, which is defined as the derivative of the concave envelope of the empirical c.d.f., is known to be a very good estimator of an unknown decreasing density on the half-line $\mathbb{R}^+$ when this density is not assumed to be smooth. It is indeed the maximum likelihood estimator and one can get precise upper bounds for its risk when the loss is measured by the $\mathbb{L}^1$-distance between densities. Moreover, if one restricts oneself to the compact subsets of decreasing densities bounded by H with support on $[0, L]$ the risk of this estimator is within a fixed factor of the minimax risk. The same is true if one deals with the maximum likelihood estimator for unimodal densities with known mode. When the mode is unknown, the maximum likelihood estimator does not exist any more. We shall provide a general purpose estimator (together with a computational algorithm) for estimating nonsmooth unimodal densities. Its risk is the same as the risk of the Grenander estimator based on the knowledge of the true mode plus some lower order term. It can also cope with small departures from unimodality.

Article information

Source
Ann. Statist., Volume 25, Number 3 (1997), 970-981.

Dates
First available in Project Euclid: 20 November 2003

https://projecteuclid.org/euclid.aos/1069362733

Digital Object Identifier
doi:10.1214/aos/1069362733

Mathematical Reviews number (MathSciNet)
MR1447736

Zentralblatt MATH identifier
0888.62033

Subjects
Primary: 62G05: Estimation 62G07: Density estimation
Secondary: 41A25: Rate of convergence, degree of approximation

Citation

Birgé, Lucien. Estimation of unimodal densities without smoothness assumptions. Ann. Statist. 25 (1997), no. 3, 970--981. doi:10.1214/aos/1069362733. https://projecteuclid.org/euclid.aos/1069362733