Paper 4, Section II, 28 K28 \mathrm{~K}

Principles of Statistics | Part II, 2018

Let g:R→Rg: \mathbb{R} \rightarrow \mathbb{R} be an unknown function, twice continuously differentiable with ∣g′′(x)∣⩽M\left|g^{\prime \prime}(x)\right| \leqslant M for all x∈Rx \in \mathbb{R}. For some x0∈Rx_{0} \in \mathbb{R}, we know the value g(x0)g\left(x_{0}\right) and we wish to estimate its derivative g′(x0)g^{\prime}\left(x_{0}\right). To do so, we have access to a pseudo-random number generator that gives U1∗,…,UN∗U_{1}^{*}, \ldots, U_{N}^{*} i.i.d. uniform over [0,1][0,1], and a machine that takes input x1,…,xN∈Rx_{1}, \ldots, x_{N} \in \mathbb{R} and returns g(xi)+εig\left(x_{i}\right)+\varepsilon_{i}, where the εi\varepsilon_{i} are i.i.d. N(0,σ2)\mathcal{N}\left(0, \sigma^{2}\right).

(a) Explain how this setup allows us to generate NN independent Xi=x0+hZiX_{i}=x_{0}+h Z_{i}, where the ZiZ_{i} take value 1 or −1-1 with probability 1/21 / 2, for any h>0h>0.

(b) We denote by YiY_{i} the output g(Xi)+εig\left(X_{i}\right)+\varepsilon_{i}. Show that for some independent ξi∈R\xi_{i} \in \mathbb{R}

Yi−g(x0)=hZig′(x0)+h22g′′(ξi)+εiY_{i}-g\left(x_{0}\right)=h Z_{i} g^{\prime}\left(x_{0}\right)+\frac{h^{2}}{2} g^{\prime \prime}\left(\xi_{i}\right)+\varepsilon_{i}

(c) Using the intuition given by the least-squares estimator, justify the use of the estimator g^N\hat{g}_{N} given by

g^N=1N∑i=1NZi(Yi−g(x0))h\hat{g}_{N}=\frac{1}{N} \sum_{i=1}^{N} \frac{Z_{i}\left(Y_{i}-g\left(x_{0}\right)\right)}{h}

(d) Show that

E[∣g^N−g′(x0)∣2]⩽h2M24+σ2Nh2.\mathbb{E}\left[\left|\hat{g}_{N}-g^{\prime}\left(x_{0}\right)\right|^{2}\right] \leqslant \frac{h^{2} M^{2}}{4}+\frac{\sigma^{2}}{N h^{2}} .

Show that for some choice hNh_{N} of parameter hh, this implies

E[∣g^N−g′(x0)∣2]⩽σMN\mathbb{E}\left[\left|\hat{g}_{N}-g^{\prime}\left(x_{0}\right)\right|^{2}\right] \leqslant \frac{\sigma M}{\sqrt{N}}

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