论文标题

伯恩斯坦型的不平等和非参数估计在近类依赖性下

Bernstein-type Inequalities and Nonparametric Estimation under Near-Epoch Dependence

论文作者

Yuan, Zihao, Spindler, Martin

论文摘要

本文的主要贡献在于两个方面。首先,我们专注于为几何和代数不规则的NED随机场提供伯恩斯坦型不平等,其中包含时间序列作为特殊情况。此外,通过将“有效维度”的概念引入随机字段的索引集,我们的结果反映了不平等的清晰度仅与此“有效维度”相关。据我们所知,我们的论文可能是反映这一现象的第一个论文。因此,本文的第一个贡献或多或少被视为\ citea {XU2018Sieve}的开创性工作的更新。此外,作为我们的首次贡献的推论,还获得了伯恩斯坦类型的几何不规则不规则$α$ - 混合随机场的不等式。我们贡献的第二个方面是,基于上述不平等,我们显示了许多基于内核的非参数估计器的$ l _ {\ infty} $收敛速率。为此,在NED和$α$混合条件下分别得出了两个经验过程的偏差不平等。然后,对于不规则间隔的NED随机字段,我们证明了非参数回归的局部线性估计器的最佳速率可达到的能力,这刷新了有关该主题的另一项开创性工作,\ citea {Jenish2012nononParametric}。随后,我们在相同的NED条件下也分析了单模式回归的均匀收敛速率。此外,通过遵循\ citea {rigollet2009optimal}的指南,我们还证明了基于内核的插件密度级别设置估计器最佳可以达到对数因子。同时,当数据从$α$混合随机字段收集时,我们还得出了简单的局部多项式密度估计量\ cite \ cite {cattaneo2020simple}的均匀收敛速率。

The major contributions of this paper lie in two aspects. Firstly, we focus on deriving Bernstein-type inequalities for both geometric and algebraic irregularly-spaced NED random fields, which contain time series as special case. Furthermore, by introducing the idea of "effective dimension" to the index set of random field, our results reflect that the sharpness of inequalities are only associated with this "effective dimension". Up to the best of our knowledge, our paper may be the first one reflecting this phenomenon. Hence, the first contribution of this paper can be more or less regarded as an update of the pioneering work from \citeA{xu2018sieve}. Additionally, as a corollary of our first contribution, a Bernstein-type inequality for geometric irregularly-spaced $α$-mixing random fields is also obtained. The second aspect of our contributions is that, based on the inequalities mentioned above, we show the $L_{\infty}$ convergence rate of the many interesting kernel-based nonparametric estimators. To do this, two deviation inequalities for the supreme of empirical process are derived under NED and $α$-mixing conditions respectively. Then, for irregularly-spaced NED random fields, we prove the attainability of optimal rate for local linear estimator of nonparametric regression, which refreshes another pioneering work on this topic, \citeA{jenish2012nonparametric}. Subsequently, we analyze the uniform convergence rate of uni-modal regression under the same NED conditions as well. Furthermore, by following the guide of \citeA{rigollet2009optimal}, we also prove that the kernel-based plug-in density level set estimator could be optimal up to a logarithm factor. Meanwhile, when the data is collected from $α$-mixing random fields, we also derive the uniform convergence rate of a simple local polynomial density estimator \cite{cattaneo2020simple}.

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