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Parameter recovery in two-component contamination mixtures: the L2\mathbb{L}^2L2 strategy

1 April 2016
S. Gadat
J. Kahn
C. Marteau
C. Maugis-Rabusseau
ArXiv (abs)PDFHTML
Abstract

In this paper, we consider a parametric density contamination model. We work with a sample of i.i.d. data with a common density, f⋆=(1−λ⋆)ϕ+λ⋆ϕ(.−μ⋆)f^\star =(1-\lambda^\star) \phi + \lambda^\star \phi(.-\mu^\star)f⋆=(1−λ⋆)ϕ+λ⋆ϕ(.−μ⋆), where the shape ϕ\phiϕ is assumed to be known. We establish the optimal rates of convergence for the estimation of the mixture parameters (λ⋆,μ⋆)(\lambda^\star,\mu^\star)(λ⋆,μ⋆). In particular, we prove that the classical parametric rate 1/n1/\sqrt{n}1/n​ cannot be reached when at least one of these parameters is allowed to tend to 000 with nnn.

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