A ridge-parameter approach to deconvolution

Kernel methods for deconvolution have attractive features, and prevail in the literature. However, they have disadvantages, which include the fact that they are usually suitable only for cases where the error distribution is infinitely supported and its characteristic function does not ever vanish. Even in these settings, optimal convergence rates are achieved by kernel estimators only when the kernel is chosen to adapt to the unknown smoothness of the target distribution. In this paper we suggest alternative ridge methods, not involving kernels in any way. We show that ridge methods (a) do not require the assumption that the error-distribution characteristic function is nonvanishing; (b) adapt themselves remarkably well to the smoothness of the target density, with the result that the degree of smoothness does not need to be directly estimated; and (c) give optimal convergence rates in a broad range of settings.Comment: Published in at http://dx.doi.org/10.1214/009053607000000028 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Goodness-of-fit testing and quadratic functional estimation from indirect observations

We consider the convolution model where i.i.d. random variables $X_i$ having unknown density $f$ are observed with additive i.i.d. noise, independent of the $X$'s. We assume that the density $f$ belongs to either a Sobolev class or a class of supersmooth functions. The noise distribution is known and its characteristic function decays either polynomially or exponentially asymptotically. We consider the problem of goodness-of-fit testing in the convolution model. We prove upper bounds for the risk of a test statistic derived from a kernel estimator of the quadratic functional $\int f^2$ based on indirect observations. When the unknown density is smoother enough than the noise density, we prove that this estimator is $n^{-1/2}$ consistent, asymptotically normal and efficient (for the variance we compute). Otherwise, we give nonparametric upper bounds for the risk of the same estimator. We give an approach unifying the proof of nonparametric minimax lower bounds for both problems. We establish them for Sobolev densities and for supersmooth densities less smooth than exponential noise. In the two setups we obtain exact testing constants associated with the asymptotic minimax rates.Comment: Published in at http://dx.doi.org/10.1214/009053607000000118 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Testing the suitability of polynomial models in errors-in-variables problems

A low-degree polynomial model for a response curve is used commonly in practice. It generally incorporates a linear or quadratic function of the covariate. In this paper we suggest methods for testing the goodness of fit of a general polynomial model when there are errors in the covariates. There, the true covariates are not directly observed, and conventional bootstrap methods for testing are not applicable. We develop a new approach, in which deconvolution methods are used to estimate the distribution of the covariates under the null hypothesis, and a ``wild'' or moment-matching bootstrap argument is employed to estimate the distribution of the experimental errors (distinct from the distribution of the errors in covariates). Most of our attention is directed at the case where the distribution of the errors in covariates is known, although we also discuss methods for estimation and testing when the covariate error distribution is estimated. No assumptions are made about the distribution of experimental error, and, in particular, we depart substantially from conventional parametric models for errors-in-variables problems.Comment: Published in at http://dx.doi.org/10.1214/009053607000000361 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Nonparametric estimation of mixing densities for discrete distributions

By a mixture density is meant a density of the form $\pi_{\mu}(\cdot)=\int\pi_{\theta}(\cdot)\times\mu(d\theta)$, where $(\pi_{\theta})_{\theta\in\Theta}$ is a family of probability densities and $\mu$ is a probability measure on $\Theta$. We consider the problem of identifying the unknown part of this model, the mixing distribution $\mu$, from a finite sample of independent observations from $\pi_{\mu}$. Assuming that the mixing distribution has a density function, we wish to estimate this density within appropriate function classes. A general approach is proposed and its scope of application is investigated in the case of discrete distributions. Mixtures of power series distributions are more specifically studied. Standard methods for density estimation, such as kernel estimators, are available in this context, and it has been shown that these methods are rate optimal or almost rate optimal in balls of various smoothness spaces. For instance, these results apply to mixtures of the Poisson distribution parameterized by its mean. Estimators based on orthogonal polynomial sequences have also been proposed and shown to achieve similar rates. The general approach of this paper extends and simplifies such results. For instance, it allows us to prove asymptotic minimax efficiency over certain smoothness classes of the above-mentioned polynomial estimator in the Poisson case. We also study discrete location mixtures, or discrete deconvolution, and mixtures of discrete uniform distributions.Comment: Published at http://dx.doi.org/10.1214/009053605000000381 in the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org