Abstract
We establish global rates of convergence for the Maximum Likelihood Estimators (MLEs) of log-concave and s-concave densities on ℝ. The main finding is that the rate of convergence of the MLE in the Hellinger metric is no worse than n-2/5 when -1 < s <∞ where s = 0 corresponds to the log-concave case. We also show that the MLE does not exist for the classes of s-concave densities with s <-1.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 954-981 |
| Number of pages | 28 |
| Journal | Annals of Statistics |
| Volume | 44 |
| Issue number | 3 |
| DOIs | |
| State | Published - Jun 2016 |
Bibliographical note
Publisher Copyright:© Institute of Mathematical Statistics, 2016.
Keywords
- Bracketing entropy
- Consistency
- Empirical processes
- Global rate
- Hellinger metric
- Log-concave
- S-concave
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