APPROXIMATION AND ESTIMATION OF s-CONCAVE DENSITIES VIA RÉNYI DIVERGENCES.

Abstract

In this paper, we study the approximation and estimation of s-concave densities via Rényi divergence. We first show that the approximation of a probability measure Q by an s-concave density exists and is unique via the procedure of minimizing a divergence functional proposed by [Ann. Statist.38 (2010) 2998-3027] if and only if Q admits full-dimensional support and a first moment. We also show continuity of the divergence functional in Q: if Qn → Q in the Wasserstein metric, then the projected densities converge in weighted L1 metrics and uniformly on closed subsets of the continuity set of the limit. Moreover, directional derivatives of the projected densities also enjoy local uniform convergence. This contains both on-the-model and off-the-model situations, and entails strong consistency of the divergence estimator of an s-concave density under mild conditions. One interesting and important feature for the Rényi divergence estimator of an s-concave density is that the estimator is intrinsically related with the estimation of log-concave densities via maximum likelihood methods. In fact, we show that for d = 1 at least, the Rényi divergence estimators for s-concave densities converge to the maximum likelihood estimator of a log-concave density as s ↗ 0. The Rényi divergence estimator shares similar characterizations as the MLE for log-concave distributions, which allows us to develop pointwise asymptotic distribution theory assuming that the underlying density is s-concave.