APPROXIMATION AND ESTIMATION OF s -CONCAVE DENSITIES VIA RÉNYI DIVERGENCES.

In this paper, we study the approximation and estimation of s -concave densities via Rényi divergence. We first show that the approximation of a probability measure Q by an s -concave density exists and is unique via the procedure of minimizing a divergence functional proposed by [ Ann. Statist. 38 (2010) 2998-3027] if and only if Q admits full-dimensional support and a first moment. We also show continuity of the divergence functional in Q : if Qn → Q in the Wasserstein metric, then the projected densities converge in weighted L 1 metrics and uniformly on closed subsets of the continuity set of the limit. Moreover, directional derivatives of the projected densities also enjoy local uniform convergence. This contains both on-the-model and off-the-model situations, and entails strong consistency of the divergence estimator of an s -concave density under mild conditions. One interesting and important feature for the Rényi divergence estimator of an s -concave density is that the estimator is intrinsically related with the estimation of log-concave densities via maximum likelihood methods. In fact, we show that for d = 1 at least, the Rényi divergence estimators for s -concave densities converge to the maximum likelihood estimator of a log-concave density as s ↗ 0. The Rényi divergence estimator shares similar characterizations as the MLE for log-concave distributions, which allows us to develop pointwise asymptotic distribution theory assuming that the underlying density is s -concave.