TY - JOUR
T1 - Deconvolution for an atomic distribution: Rates of convergence
AU - Gugushvili, S.
AU - Es, van, Bert
AU - Spreij, P.J.C.
PY - 2011
Y1 - 2011
N2 - Let X 1, …, X n be i.i.d. copies of a random variable X=Y+Z, where X i =Y i +Z i , and Y i and Z i are independent and have the same distribution as Y and Z, respectively. Assume that the random variables Y i ’s are unobservable and that Y=AV, where A and V are independent, A has a Bernoulli distribution with probability of success equal to 1-p and V has a distribution function F with density f. Let the random variable Z have a known distribution with density k. Based on a sample X 1, …, X n , we consider the problem of nonparametric estimation of the density f and the probability p. Our estimators of f and p are constructed via Fourier inversion and kernel smoothing. We derive their convergence rates over suitable functional classes. By establishing in a number of cases the lower bounds for estimation of f and p we show that our estimators are rate-optimal in these cases.
Keywords: atomic distribution, deconvolution, Fourier inversion, kernel smoothing, mean square error, mean integrated square error, optimal convergence rate
AB - Let X 1, …, X n be i.i.d. copies of a random variable X=Y+Z, where X i =Y i +Z i , and Y i and Z i are independent and have the same distribution as Y and Z, respectively. Assume that the random variables Y i ’s are unobservable and that Y=AV, where A and V are independent, A has a Bernoulli distribution with probability of success equal to 1-p and V has a distribution function F with density f. Let the random variable Z have a known distribution with density k. Based on a sample X 1, …, X n , we consider the problem of nonparametric estimation of the density f and the probability p. Our estimators of f and p are constructed via Fourier inversion and kernel smoothing. We derive their convergence rates over suitable functional classes. By establishing in a number of cases the lower bounds for estimation of f and p we show that our estimators are rate-optimal in these cases.
Keywords: atomic distribution, deconvolution, Fourier inversion, kernel smoothing, mean square error, mean integrated square error, optimal convergence rate
U2 - 10.1080/10485252.2011.576763
DO - 10.1080/10485252.2011.576763
M3 - Article
VL - 23
SP - 1003
EP - 1029
JO - Journal of Nonparametric Statistics
JF - Journal of Nonparametric Statistics
SN - 1048-5252
IS - 4
ER -