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math.ST updates on arXiv.org

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Efficient estimation of functionals in nonparametric boun...
Markus Reiß, Leonie Selk · 2014-07-16 · via math.ST updates on arXiv.org

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.