Estimation of a function under shape restrictions. Applications to reliability

Details Estimation of a function under shape restrictions. Applications to reliability Estimation of a function under shape restrictions. Applications to reliability

2005-07-21

arxiv.org/abs/math/0507427v1

Annals of Statistics 2005, Vol. 33, No. 3, 1330-1356

Mathematics

Statistics Theory

Published at http://dx.doi.org/10.1214/009053605000000138 in the Annals of Statistics (http://www.imstat.org/aos/) by the Inst

Scientific paper

10.1214/009053605000000138

This paper deals with a nonparametric shape respecting estimation method for U-shaped or unimodal functions. A general upper bound for the nonasymptotic L_1-risk of the estimator is given. The method is applied to the shape respecting estimation of several classical functions, among them typical intensity functions encountered in the reliability field. In each case, we derive from our upper bound the spatially adaptive property of our estimator with respect to the L_1-metric: it approximately behaves as the best variable binwidth histogram of the function under estimation.

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