Groeneboom's local limit conjecture for decreasing deconvolution mixtures

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Let gg be a right-continuous decreasing density on [0,∞)[0,\infty) with finitely many discontinuity points a0=0<a1<⋯<ama_0=0<a_1<\dots<a_m, and suppose that g′g' satisfies

∫(0,∞)g′(x)2g(x) dx<∞.\int_{(0,\infty)}\frac{g'(x)^2}{g(x)}\,dx<\infty.

Assume the integrand is zero at the discontinuity points and where gg is zero; assume also that g′g' is bounded and continuous on each (ai−1,ai)(a_{i-1},a_i), with am+1=∞a_{m+1}=\infty, and that there are positive constants k1,k2k_1,k_2 such that

∣g′(t+u)∣≤k1∣g′(t)∣|g'(t+u)|\leq k_1|g'(t)|

whenever 0<u<k20<u<k_2 and ai<t<t+u<ai+1a_i<t<t+u<a_{i+1} for some 0≤i≤m0\leq i\leq m. Let F0F_0 be the distribution function of nonnegative random variables XiX_i, continuously differentiable at z0>0z_0>0 with f0(z0)>0f_0(z_0)>0, and let the convolution density be

h(z)=∫g(z−x) dF0(x),z≥0.h(z)=\int g(z-x)\,dF_0(x),\qquad z\geq 0.

Groeneboom's deconvolution local limit conjecture. For the estimator Fn(1)F_n^{(1)} appearing in the decreasing-mixture deconvolution model,

n1/3{Fn(1)(z0)−F0(z0)}f0(z0)−1/3{2∑i=0m(g(ai)−g(ai−))2h(z0+ai)}1/3⟶D2Z,n^{1/3}\{F_n^{(1)}(z_0)-F_0(z_0)\}f_0(z_0)^{-1/3}\left\{2\sum_{i=0}^m\frac{(g(a_i)-g(a_i-))^2}{h(z_0+a_i)}\right\}^{1/3}\stackrel{\cal D}{\longrightarrow}2Z,

where ZZ is the last time that standard two-sided Brownian motion minus the parabola y(t)=t2y(t)=t^2 reaches its maximum. This is the conjectured local limit behavior of the MLE for decreasing mixture densities.

References

Primary source

Piet Groeneboom, “Nonparametric (smoothed) likelihood and integral equations”, arXiv:1205.1984 (2013).

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