Multiscale inference about a density

Details Multiscale inference about a density Multiscale inference about a density

2007-06-27

arxiv.org/abs/0706.3968v3

Annals of Statistics 2008, Vol. 36, No. 4, 1758-1785

Mathematics

Statistics Theory

Version 2 is an extended version (Technical report 56, IMSV, Univ. Bern) which is referred to in version 3. Published in at

Scientific paper

10.1214/07-AOS521

We introduce a multiscale test statistic based on local order statistics and spacings that provides simultaneous confidence statements for the existence and location of local increases and decreases of a density or a failure rate. The procedure provides guaranteed finite-sample significance levels, is easy to implement and possesses certain asymptotic optimality and adaptivity properties.

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