Conjectured Chernoff limit for the uniform deconvolution MLE

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Let F0F_0 have a continuous positive density f0f_0 on (0,M)(0,M), where M>0M>0, and let t0→(a,b)t_0\to(a,b) be an interior point. Let F^n\hat F_n be the nonparametric maximum likelihood estimator of F0F_0. Let WW be two-sided Brownian motion on R\mathbb R originating from zero. Conjectured Chernoff limit. The normalized estimation error is conjectured to satisfy

n1/3{F^n(t0)−F0(t0)}(4f0(t0)F0(t0)(1−F0(t0)))1/3⟶dargmin⁡t∈R{W(t)+t2}.\frac{n^{1/3}\{\hat F_n(t_0)-F_0(t_0)\}}{\left(4f_0(t_0)F_0(t_0)(1-F_0(t_0))\right)^{1/3}} \stackrel{d}{\longrightarrow} \operatorname*{argmin}_{t\in\mathbb R}\left\{W(t)+t^2\right\}.

This conjectures a cube-root asymptotic distribution of Chernoff type for the nonparametric MLE in the uniform deconvolution model. The surrounding discussion contrasts the fixed and mixed models and indicates that the asserted behavior remains a conjecture in the uniform case.

References

Primary source

Piet Groeneboom and Geurt Jongbloed, “Nonparametric Estimation in Uniform Deconvolution and Interval Censoring”, arXiv:2504.14555 (2025).

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