Cet article a pour but d'étudier le problème d'estimation non-paramétrique de singularités d'un signal à partir des observations indirectes et bruitées. Les singularités que nous considérons ici sont des points de discontinuité (points de rupture) du signal ou de ses derivées. Nous étudions le modèle où l'on dispose d'observations indirectes d'une transformée linéaire du signal dans le bruit blanc gaussien. Le problème de l'estimation est analysé dans un cadre minimax. Nous obtenons des minorations du risque minimax et nous proposons des estimateurs qui sont optimaux en vitesse de convergence.
We consider the problem of nonparametric estimation of signal singularities from indirect and noisy observations. Here by singularity, we mean a discontinuity (change-point) of the signal or of its derivative. The model of indirect observations we consider is that of a linear transform of the signal, observed in white noise. The estimation problem is analyzed in a minimax framework. We provide lower bounds for minimax risks and propose rate-optimal estimation procedures.
Mots clés : change-point estimations, ill-posed problems, minimax risk, sequence space model, optimal rates of convergence
@article{AIHPB_2008__44_5_787_0, author = {Goldenshluger, A. and Juditsky, A. and Tsybakov, A. B. and Zeevi, A.}, title = {Change-point estimation from indirect observations. 1. {Minimax} complexity}, journal = {Annales de l'I.H.P. Probabilit\'es et statistiques}, pages = {787--818}, publisher = {Gauthier-Villars}, volume = {44}, number = {5}, year = {2008}, doi = {10.1214/07-AIHP110}, mrnumber = {2453845}, zbl = {1206.62048}, language = {en}, url = {http://www.numdam.org/articles/10.1214/07-AIHP110/} }
TY - JOUR AU - Goldenshluger, A. AU - Juditsky, A. AU - Tsybakov, A. B. AU - Zeevi, A. TI - Change-point estimation from indirect observations. 1. Minimax complexity JO - Annales de l'I.H.P. Probabilités et statistiques PY - 2008 SP - 787 EP - 818 VL - 44 IS - 5 PB - Gauthier-Villars UR - http://www.numdam.org/articles/10.1214/07-AIHP110/ DO - 10.1214/07-AIHP110 LA - en ID - AIHPB_2008__44_5_787_0 ER -
%0 Journal Article %A Goldenshluger, A. %A Juditsky, A. %A Tsybakov, A. B. %A Zeevi, A. %T Change-point estimation from indirect observations. 1. Minimax complexity %J Annales de l'I.H.P. Probabilités et statistiques %D 2008 %P 787-818 %V 44 %N 5 %I Gauthier-Villars %U http://www.numdam.org/articles/10.1214/07-AIHP110/ %R 10.1214/07-AIHP110 %G en %F AIHPB_2008__44_5_787_0
Goldenshluger, A.; Juditsky, A.; Tsybakov, A. B.; Zeevi, A. Change-point estimation from indirect observations. 1. Minimax complexity. Annales de l'I.H.P. Probabilités et statistiques, Tome 44 (2008) no. 5, pp. 787-818. doi : 10.1214/07-AIHP110. http://www.numdam.org/articles/10.1214/07-AIHP110/
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