Information bounds for inverse problems with application to deconvolution and Lévy models
Abstract
If a functional in an inverse problem can be estimated with parametric rate, then the minimax rate gives no information about the illposedness of the problem. To have a more precise lower bound, we study semiparametric efficiency in the sense of HájekLe Cam for functional estimation in regular indirect models. These are characterized as models that can be locally approximated by a linear white noise model that is described by the generalized score operator. A convolution theorem for regular indirect models is proved. This applies to a large class of statistical inverse problems, which is illustrated for the prototypical white noise and deconvolution model. It is especially useful for nonlinear models. We discuss in detail a nonlinear model of deconvolution type where a Lévy process is observed at low frequency, concluding an information bound for the estimation of linear functionals of the jump measure.
 Publication:

arXiv eprints
 Pub Date:
 July 2013
 arXiv:
 arXiv:1307.6610
 Bibcode:
 2013arXiv1307.6610T
 Keywords:

 Mathematics  Statistics Theory;
 Mathematics  Probability;
 60G51;
 60J75;
 62B15;
 62G20;
 62M05
 EPrint:
 To appear in Annales de l'Institut Henri Poincar\'e