Semiparametric Minimax Rates.

Electron J Stat

Department of Mathematics, Vrije Universiteit, De Boelelaan 1081a, 1081 HV Amsterdam, The Netherlands.

Published: December 2009

We consider the minimax rate of testing (or estimation) of non-linear functionals defined on semiparametric models. Existing methods appear not capable of determining a lower bound on the minimax rate of testing (or estimation) for certain functionals of interest. In particular, if the semiparametric model is indexed by several infinite-dimensional parameters. To cover these examples we extend the approach of [1], which is based on comparing a "true distribution" to a convex mixture of perturbed distributions to a comparison of two convex mixtures. The first mixture is obtained by perturbing a first parameter of the model, and the second by perturbing in addition a second parameter. We apply the new result to two examples of semiparametric functionals:the estimation of a mean response when response data are missing at random, and the estimation of an expected conditional covariance functional.

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http://www.ncbi.nlm.nih.gov/pmc/articles/PMC5884174PMC
http://dx.doi.org/10.1214/09-EJS479DOI Listing

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