Adaptive estimation in symmetric location model under log-concavity constraint (2105.04287v2)

Abstract: We revisit the problem of estimating the center of symmetry $\theta$ of an unknown symmetric density $f$. Although stone (1975), Eden (1970), and Sacks (1975) constructed adaptive estimators of $\theta$ in this model, their estimators depend on external tuning parameters. In an effort to reduce the burden of tuning parameters, we impose an additional restriction of log-concavity on $f$. We construct truncated one-step estimators which are adaptive under the log-concavity assumption. Our simulations suggest that the untruncated version of the one step estimator, which is tuning parameter free, is also asymptotically efficient. We also study the maximum likelihood estimator (MLE) of $\theta$ in the shape-restricted model.