Asymptotic normality of the Lk-error of the Grenander estimator
Journal Article
(2005)
Research Group
Statistics
DOI related publication
https://doi.org/doi:10.1214/009053605000000462
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https://resolver.tudelft.nl/uuid:175e4b02-91ee-4e86-bc29-8013cc64e5cc
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Publication Year
2005
Research Group
Statistics
Issue number
5
Volume number
33
Pages (from-to)
2228-2255
Abstract
We investigate the limit behavior of the Lk-distance between a decreasing density f and its nonparametric maximum likelihood estimator f¿n for k¿1. Due to the inconsistency of f¿n at zero, the case k=2.5 turns out to be a kind of transition point. We extend asymptotic normality of the L1-distance to the Lk-distance for 1¿k1, we show that the Lk-distance between f and f¿n is asymptotically equivalent to the Lk-distance between Un and g.
Primary Subjects: 62E20; 62G07
Secondary Subjects: 62G20
Keywords: Brownian motion with quadratic drift; central limit theorem; concave majorant; isotonic estimation; L_k norm; monotone density
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