Debashis
Paul

University of CA at Davis

Thursday, September 17, 2015 - 3:30pm
Nonparametric estimation of dynamics of monotone trajectories

We propose a nonparametric estimator of the dynamics of monotonically increasing or decreasing trajectories defined on a finite time interval. Such trajectories can be described as solutions of autonomous ODEs. Under suitable regularity conditions, we derive the optimal rate of convergence for the proposed estimator and show that it is the same as that for estimating the derivative of a trajectory. We also show that commonly used two-stage estimation schemes are typically inefficient. 

http://www.stat.ucdavis.edu/~debashis/