Estimation of a function under shape restrictions. Applications to reliability

Abstract

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.

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

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