Institute of Mathematical Statistics Lecture Notes - Monograph Series

A Kiefer-Wolfowitz theorem for convex densities

Fadoua Balabdaoui and Jon A. Wellner

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Abstract

Kiefer and Wolfowitz showed that if $F$ is a strictly curved concave distribution function (corresponding to a strictly monotone density $f$), then the Maximum Likelihood Estimator $\widehat{F}_n$, which is, in fact, the least concave majorant of the empirical distribution function $\FF_n$, differs from the empirical distribution function in the uniform norm by no more than a constant times $(n^{-1} \log n)^{2/3}$ almost surely. We review their result and give an updated version of their proof. We prove a comparable theorem for the class of distribution functions $F$ with convex decreasing densities $f$, but with the maximum likelihood estimator $\widehat{F}_n$ of $F$ replaced by the least squares estimator $\widetilde{F}_n$: if $X_1 , \ldots , X_n$ are sampled from a distribution function $F$ with strictly convex density $f$, then the least squares estimator $\widetilde{F}_n$ of $F$ and the empirical distribution function $\FF_n$ differ in the uniform norm by no more than a constant times $(n^{-1} \log n )^{3/5}$ almost surely. The proofs rely on bounds on the interpolation error for complete spline interpolation due to Hall, Hall and Meyer. These results, which are crucial for the developments here, are all nicely summarized and exposited in de Boor.

Chapter information

Source
Eric A. Cator, Geurt Jongbloed, Cor Kraaikamp, Hendrik P. Lopuhaä, Jon A. Wellner, eds., Asymptotics: Particles, Processes and Inverse Problems: Festschrift for Piet Groeneboom (Beachwood, Ohio, USA: Institute of Mathematical Statistics, 2007), 1-31

Dates
First available in Project Euclid: 4 December 2007

Permanent link to this document
https://projecteuclid.org/euclid.lnms/1196797066

Digital Object Identifier
doi:10.1214/074921707000000256

Mathematical Reviews number (MathSciNet)
MR2435342

Zentralblatt MATH identifier
1176.62051

Subjects
Primary: 62G10: Hypothesis testing 62G20: Asymptotic properties
Secondary: 62G30: Order statistics; empirical distribution functions

Keywords
Brownian bridge convex density distance empirical distribution invelope process monotone density optimality theory shape constraints

Rights
Copyright © 2007, Institute of Mathematical Statistics

Citation

Balabdaoui, Fadoua; Wellner, Jon A. A Kiefer-Wolfowitz theorem for convex densities. Asymptotics: Particles, Processes and Inverse Problems, 1--31, Institute of Mathematical Statistics, Beachwood, Ohio, USA, 2007. doi:10.1214/074921707000000256. https://projecteuclid.org/euclid.lnms/1196797066


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