Bernoulli

  • Bernoulli
  • Volume 4, Number 3 (1998), 329-375.

Minimum contrast estimators on sieves: exponential bounds and rates of convergence

Lucien Birgé and Pascal Massart

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Abstract

This paper, which we dedicate to Lucien Le Cam for his seventieth birthday, has been written in the spirit of his pioneering works on the relationships between the metric structure of the parameter space and the rate of convergence of optimal estimators. It has been written in his honour as a contribution to his theory. It contains further developments of the theory of minimum contrast estimators elaborated in a previous paper. We focus on minimum contrast estimators on sieves. By a `sieve' we mean some approximating space of the set of parameters. The sieves which are commonly used in practice are D-dimensional linear spaces generated by some basis: piecewise polynomials, wavelets, Fourier, etc. It was recently pointed out that nonlinear sieves should also be considered since they provide better spatial adaptation (think of histograms built from any partition of D subintervals of [0,1] as a typical example). We introduce some metric assumptions which are closely related to the notion of finite-dimensional metric space in the sense of Le Cam. These assumptions are satisfied by the examples of practical interest and allow us to compute sharp rates of convergence for minimum contrast estimators.

Article information

Source
Bernoulli, Volume 4, Number 3 (1998), 329-375.

Dates
First available in Project Euclid: 19 March 2007

Permanent link to this document
https://projecteuclid.org/euclid.bj/1174324984

Mathematical Reviews number (MathSciNet)
MR1653272

Zentralblatt MATH identifier
0954.62033

Keywords
empirical processes finite-dimensional metric space maximum likelihood estimation minimum contrast estimators nonparametric estimation rates of convergence sieves

Citation

Birgé, Lucien; Massart, Pascal. Minimum contrast estimators on sieves: exponential bounds and rates of convergence. Bernoulli 4 (1998), no. 3, 329--375. https://projecteuclid.org/euclid.bj/1174324984


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