ON THE GRENANDER ESTIMATOR AT ZERO

Stat Sin. 2011 Apr;21(2):873-899. doi: 10.5705/ss.2011.038a.

Abstract

We establish limit theory for the Grenander estimator of a monotone density near zero. In particular we consider the situation when the true density f(0) is unbounded at zero, with different rates of growth to infinity. In the course of our study we develop new switching relations using tools from convex analysis. The theory is applied to a problem involving mixtures.