One-sided inference about functionals of a density. (English) Zbl 0665.62040

Authors summary: This paper discusses the possibility of truly nonparametric inference about functionals of an unknown density. Examples considered include: discrete functionals, such as the number of modes of a density and the number of terms in the true model; and continuous functionals, such as the optimal bandwidth for kernel density estimates or the width of confidence intervals for adaptive location estimators. For such functionals it is not generally possible to make two-sided nonparametric confidence statements.
However, one-sided nonparametric confidence statements are possible: e.g., “I say with 95 % confidence that the underlying distribution has at least three modes”. Roughly, this is because the functionals of interest are semi-continuous with respect to the topology induced by a distribution-free metric. Then a neighbourhood procedure can be used. The procedure is to find the minimum value of the functional over a neighbourhood of the empirical distribution in function space. If this neighbourhood is a nonparametric 1-\(\alpha\) confidence region for the true distribution, the resulting minimum value lowerbounds the true value with a probability of at least 1-\(\alpha\). This lower bound has good asymptotic properties in the high-confidence setting \(\alpha\) close to 0.
Reviewer: B.L.S.Prakasa Rao


62G05 Nonparametric estimation
62G15 Nonparametric tolerance and confidence regions
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