26 research outputs found
Asymptotic equivalence for inhomogeneous jump diffusion processes and white noise
We prove the global asymptotic equivalence between the experiments generated
by the discrete (high frequency) or continuous observation of a path of a time
inhomogeneous jump-diffusion process and a Gaussian white noise experiment.
Here, the considered parameter is the drift function, and we suppose that the
observation time tends to . The approximation is given in the sense
of the Le Cam -distance, under smoothness conditions on the unknown
drift function. These asymptotic equivalences are established by constructing
explicit Markov kernels that can be used to reproduce one experiment from the
other.Comment: 20 pages; to appear on ESAIM: P\&S. In this version there are some
improvements in the exposition following the reports suggestion
Asymptotic equivalence for density estimation and gaussian white noise: An extension
The aim of this paper is to present an extension of the well-known
as-ymptotic equivalence between density estimation experiments and a Gaussian
white noise model. Our extension consists in enlarging the nonparametric class
of the admissible densities. More precisely, we propose a way to allow
densities defined on any subinterval of R, and also some discontinuous or
unbounded densities are considered (so long as the discontinuity and
unboundedness patterns are somehow known a priori). The concept of equivalence
that we shall adopt is in the sense of the Le Cam distance between statistical
models. The results are constructive: all the asymptotic equivalences are
established by constructing explicit Markov kernels.Comment: 11 pages. arXiv admin note: text overlap with arXiv:1503.0453
L_1-distance for additive processes with time-homogeneous L\'evy measures
We give an explicit bound for the -distance between two additive
processes of local characteristics , . The cases and are both treated. We allow
and to be equivalent time-homogeneous L\'evy measures, possibly with
infinite variation. Some examples of possible applications are discussed.Comment: 9 pages; extended introduction and added reference
Asymptotic equivalence for pure jump Lévy processes with unknown Lévy density and Gaussian white noise
50 pages. The definition of the parameter space has changed and some proofs have been expanded and corrected.The aim of this paper is to establish a global asymptotic equivalence between the experiments generated by the discrete (high frequency) or continuous observation of a path of a Lévy process and a Gaussian white noise experiment observed up to a time T, with T tending to ∞. These approximations are given in the sense of the Le Cam distance, under some smoothness conditions on the unknown Lévy density. All the asymptotic equivalences are established by constructing explicit Markov kernels that can be used to reproduce one experiment from the other
A Bayesian nonparametric approach to log-concave density estimation
The estimation of a log-concave density on is a canonical
problem in the area of shape-constrained nonparametric inference. We present a
Bayesian nonparametric approach to this problem based on an exponentiated
Dirichlet process mixture prior and show that the posterior distribution
converges to the log-concave truth at the (near-) minimax rate in Hellinger
distance. Our proof proceeds by establishing a general contraction result based
on the log-concave maximum likelihood estimator that prevents the need for
further metric entropy calculations. We also present two computationally more
feasible approximations and a more practical empirical Bayes approach, which
are illustrated numerically via simulations.Comment: 39 pages, 17 figures. Simulation studies were significantly expanded
and one more theorem has been adde