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Efficient estimation of functionals in nonparametric boundary models. (English) Zbl 1380.62177

Summary: For nonparametric regression with one-sided errors and a boundary curve model for Poisson point processes, we consider the problem of efficient estimation for linear functionals. The minimax optimal rate is obtained by an unbiased estimation method which nevertheless depends on a Hölder condition or monotonicity assumption for the underlying regression or boundary function.
We first construct a simple blockwise estimator and then build up a nonparametric maximum-likelihood approach for exponential noise variables and the point process model. In that approach also non-asymptotic efficiency is obtained (UMVU: uniformly minimum variance among all unbiased estimators). The proofs rely essentially on martingale stopping arguments for counting processes and the point process geometry. The estimators are easily computable and a small simulation study confirms their applicability.

MSC:

62G08 Nonparametric regression and quantile regression
60G55 Point processes (e.g., Poisson, Cox, Hawkes processes)
62G05 Nonparametric estimation
62G20 Asymptotic properties of nonparametric inference
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