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- W2199028780 abstract "The present paper considers a problem of estimating a linear functional $Phi=int_{-infty}^infty varphi(x) f(x)dx$ of an unknown deconvolution density $f$ on the basis of i.i.d. observations $Y_i = theta_i + xi_i$ where $xi_i$ has a known pdf $g$ and $f$ is the pdf of $theta_i$. Although various aspects and particular cases of this problem have been treated by a number of authors, there are still many gaps. In particular, there are no minimax lower bounds for an estimator of $Phi$ for an arbitrary function $varphi$. The general upper risk bounds cover only the case when the Fourier transform of $varphi$ exists. Moreover, no theory exists for estimating $Phi$ when vector of observations is sparse. In addition, until now, the related problem of estimation of functionals $Phi_n = n^{-1} sum_{i=1}^n varphi(theta_i)$ in indirect observations have been treated as a separate problem with no connection to estimation of $Phi$. The objective of the present paper is to fill in the gaps and develop the general minimax theory of estimation of $Phi$ and $Phi_n$. We offer a general approach to estimation of $Phi$ (and $Phi_n$) and provide the upper and the minimax lower risk bounds in the case when function $varphi$ is square integrable. Furthermore, we extend the theory to the case when Fourier transform of $varphi$ does not exist and $Phi$ can be presented as a linear functional of the Fourier transform of $f$ and its derivatives. Finally, we generalize our results to handle the situation when vector $theta$ is sparse. As a direct application of the proposed theory, we obtain multiple new results and automatically recover existing ones for a variety of problems such as estimation of the $(2M+1)$-th absolute moment or a generalized moment of the deconvolution density, estimation of the mixing cdf or estimation of the mixing pdf with classical and Berkson errors." @default.
- W2199028780 created "2016-06-24" @default.
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- W2199028780 date "2014-11-06" @default.
- W2199028780 modified "2023-09-27" @default.
- W2199028780 title "Minimax theory of estimation of linear functionals of the deconvolution density with or without sparsity" @default.
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