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Activity Number: 98
Type: Invited
Date/Time: Monday, August 4, 2014 : 8:30 AM to 10:20 AM
Sponsor: IMS
Abstract #310931
Title: Methodology for Deconvolution When the Error Distribution Is Unknown
Author(s): Peter Hall and Aurore Delaigle*+
Companies: University of Melbourne and University of Melbourne
Keywords: measurement error
Abstract:

In nonparametric deconvolution problems, in order to estimate consistently a density or distribution from a sample of data contaminated by additive random noise it is often assumed that the noise distribution is completely known or that an additional sample of replicated or validation data is available. Methods have also been suggested for estimating the scale of the error distribution, but they require somewhat restrictive smoothness assumptions on the signal distribution, which can be hard to verify in practice. Taking a completely new approach to the problem, we argue that data rarely come from a simple, regular distribution, and that this can be exploited to estimate the signal distributions using a simple procedure, often giving very good performance. Our method can be extended to other problems involving errors-in-variables, such as nonparametric regression estimation. Its performance in practice is remarkably good, often equalling (even unexpectedly) the performance of techniques that use additional data to estimate the unknown error distribution.


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