Anisotropic spectral cut-off estimation under multiplicative measurement errors

07/05/2021 ∙ by Sergio Brenner Miguel, et al. ∙ 0

We study the non-parametric estimation of an unknown density f with support on R+^d based on an i.i.d. sample with multiplicative measurement errors. The proposed fully-data driven procedure is based on the estimation of the Mellin transform of the density f and a regularisation of the inverse of the Mellin transform by a spectral cut-off. The upcoming bias-variance trade-off is dealt with by a data-driven anisotropic choice of the cut-off parameter. In order to discuss the bias term, we consider the Mellin-Sobolev spaces which characterize the regularity of the unknown density f through the decay of its Mellin transform. Additionally, we show minimax-optimality over Mellin-Sobolev spaces of the spectral cut-off density estimator.

READ FULL TEXT
POST COMMENT

Comments

There are no comments yet.

Authors

page 17

page 18

This week in AI

Get the week's most popular data science and artificial intelligence research sent straight to your inbox every Saturday.