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Multiplicative deconvolution estimator based on a ridge approach (2108.01523v1)
Published 3 Aug 2021 in math.ST and stat.TH
Abstract: We study the non-parametric estimation of an unknown density f with support on R+ based on an i.i.d. sample with multiplicative measurement errors. The proposed fully-data driven procedure consists of the estimation of the Mellin transform of the density f and a regularisation of the inverse of the Mellin transform by a ridge approach. The upcoming bias-variance trade-off is dealt with by a data-driven choice of the ridge parameter. In order to discuss the bias term, we consider the Mellin-Sobolev spaces which characterise the regularity of the unknown density f through the decay of its Mellin transform. Additionally, we show minimax-optimality over Mellin-Sobolev spaces of the ridge density estimator.