Mathematical Foundations of Infinite-Dimensional Statistical Models (Cambridge Series in Statistical and Probabilistic Mathematics, Series Number 40) - Hardcover

Giné, Evarist; Nickl, Richard

Hardcover

ISBN 10: 1107043166 ISBN 13: 9781107043169

Publisher: Cambridge University Press, 2015

Synopsis

In nonparametric and high-dimensional statistical models, the classical Gauss-Fisher-Le Cam theory of the optimality of maximum likelihood estimators and Bayesian posterior inference does not apply, and new foundations and ideas have been developed in the past several decades. This book gives a coherent account of the statistical theory in infinite-dimensional parameter spaces. The mathematical foundations include self-contained 'mini-courses' on the theory of Gaussian and empirical processes, on approximation and wavelet theory, and on the basic theory of function spaces. The theory of statistical inference in such models - hypothesis testing, estimation and confidence sets - is then presented within the minimax paradigm of decision theory. This includes the basic theory of convolution kernel and projection estimation, but also Bayesian nonparametrics and nonparametric maximum likelihood estimation. In a final chapter the theory of adaptive inference in nonparametric models is developed, including Lepski's method, wavelet thresholding, and adaptive inference for self-similar functions.

About this title

Book Description

High-dimensional and nonparametric statistical models are ubiquitous in modern data science. This book develops a mathematically coherent and objective approach to statistical inference in such models, with a focus on function estimation problems arising from random samples (density estimation) or from Gaussian regression /signal in white noise problems.

About the Author

Evarist Giné (1944-2015) was Head of the Department of Mathematics at the University of Connecticut. Giné was a distinguished mathematician who worked on mathematical statistics and probability in infinite dimensions. He was the author of two books and more than 100 articles.

Richard Nickl is a Reader in Mathematical Statistics in the Statistical Laboratory within the Department of Pure Mathematics and Mathematical Statistics at the University of Cambridge.

Edition details

• Publisher: Cambridge University Press
• Publication date: 2015
• ISBN 10: 1107043166
• ISBN 13: 9781107043169
• Binding: Hardcover
• Language: English
• Edition number: 1
• Number of pages: 720