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# Measurement of single-spin azimuthal asymmetries in semi-inclusive electroproduction of pions and kaons on a longitudinally polarised deuterium target

The HERMES Collaboration

(February 18, 2003)

## Abstract

Single-spin asymmetries have been measured for semi-inclusive electroproduction of $`\pi ^+`$, $`\pi ^{}`$, $`\pi ^0`$ and $`K^+`$ mesons in deep-inelastic scattering off a longitudinally polarised deuterium target. The asymmetries appear in the distribution of the hadrons in the azimuthal angle $`\varphi `$ around the virtual photon direction, relative to the lepton scattering plane. The corresponding analysing powers in the $`\mathrm{sin}\varphi `$ moment of the cross section are $`0.012\pm 0.002\text{(stat.)}\pm 0.002\text{(syst.)}`$ for $`\pi ^+`$, $`0.006\pm 0.003\text{(stat.)}\pm 0.002\text{(syst.)}`$ for $`\pi ^{}`$, $`0.021\pm 0.005\text{(stat.)}\pm 0.003\text{(syst.)}`$ for $`\pi ^0`$ and $`0.013\pm 0.006\text{(stat.)}\pm 0.003\text{(syst.)}`$ for $`K^+`$. The $`\mathrm{sin}2\varphi `$ moments are compatible with zero for all particles.

PACS numbers: 13.87.Fh, 13.60.-r, 13.88.+e, 14.20.Dh

Deep-inelastic lepton scattering (DIS) on polarised nucleons has provided much of our present understanding of the spin structure of the nucleon. Recently, measurements of single-spin azimuthal asymmetries have been recognised as a powerful source of information about the spin structure of the nucleon Mulders+:1996 , complementary to inclusive deep-inelastic scattering. Significant azimuthal target-spin asymmetries in electroproduction of $`\pi ^+`$ and $`\pi ^0`$ mesons on a longitudinally polarised hydrogen target have been reported in Refs. hermes\_pi+\_ssa:1999 ; hermes\_pi0\_ssa:2001 . Evidence for azimuthal asymmetries of pions has also been reported for deep-inelastic lepton scattering off transversely polarised protons smc\_ssa:1999 .

It has been suggested Collins:1993  that these single-spin asymmetries may provide information on the transversity distribution, which describes in a transverse polarisation basis the probability to find a quark with its spin parallel or antiparallel to the spin of the nucleon that is polarised transversely to its (infinite) momentum Ralston-Soper:1979 ; Artru:1990 ; Jaffe-Ji:1991 . Transversity is a chiral-odd distribution function, which implies that it is not observable in an inclusive measurement, because chirality is conserved in electromagnetic and strong interactions in the limit of massless on-shell quarks. Therefore, a second chiral-odd object has to be involved in the process Kotzinian:1995 ; Mulders:1997 . In semi-inclusive scattering this can be a chiral-odd fragmentation function — for example the Collins-function Collins:1993 .

The HERMES results on target single-spin asymmetries hermes\_pi+\_ssa:1999 ; hermes\_pi0\_ssa:2001  have elicited a number of phenomenological studies to evaluate these asymmetries in the framework of the Collins mechanism using various models as input for the chiral-odd distribution and fragmentation functions Oganessyan:1998 ; Boer:1999 ; Boglione+:2000 ; Efremov+:2000 ; deSanctis+:2000 ; Anselmino+:2000 ; Karo+:2000 ; Karo+:2001 ; Ma+:2001 ; Efremov+:2001 ; Ma+:2002 . Theoretical predictions have also been made for single-spin asymmetries in DIS off the nucleons in a deuterium target Ma+:2002 ; Efremov+:2002 .

Recently, it has been shown that another mechanism can also cause a single-spin azimuthal asymmetry in semi-inclusive deep-inelastic scattering Brodsky+:2002 . In this case, the observed asymmetry is attributed to the interaction of the struck quark with the target remnant through the exchange of a single gluon. This mechanism was shown to be identical Collins:2002  to the Sivers effect known already for a long time Sivers:1990 , involving a chiral-even time-odd distribution function. Other theoretical studies Anselmino+:1995 ; Boer+:1997 ; Boglione+:1999 ; Ji+:2002  have revealed that factorisation applies to this process, which leads to gauge-invariant momentum dependent parton distributions. In the case of a longitudinally polarised target the Collins and the Sivers mechanism cannot be distinguished. However, for the two mechanisms a different kinematic dependence on the fractional energy $`z`$ of the hadron has been predicted Boglione+:1999 .

This paper reports the first observation of target-spin azimuthal asymmetries for semi-inclusive pion and kaon production on a longitudinally polarised deuterium target. The data were recorded during the 1998, 1999 and 2000 running periods of the HERMES experiment. The experiment was performed with a beam of $`27.6`$ GeV polarised electrons/positrons from the HERA storage ring at DESY and polarised nucleons in a deuterium gas target. The average target polarisation was 0.84 with a fractional uncertainty of 5%. The data were taken with an electron beam in 1998 and with a positron beam in 1999 and 2000. The measured single-spin asymmetries show no dependence on the beam charge. Therefore, all datasets were combined. In the following, electrons and positrons will be jointly referred to as positrons.

The process considered is the production of a pseudoscalar meson ($`m=\pi `$ or $`K`$) in deep-inelastic positron scattering off a longitudinally polarised deuterium target:

$$e+\stackrel{}{d}e+m+X.$$
(1)
The kinematics of this scattering process are illustrated in Fig. 1. The relevant variables are the squared four-momentum $`Q^2=q^2=(kk^{})^2`$ and the energy $`\nu =EE^{}`$ of the virtual photon in the target rest frame and its fractional energy $`y=\nu /E`$, the invariant mass of the virtual-photon nucleon system $`W=\sqrt{2M\nu +M^2Q^2}`$, the Bjorken variable $`x=Q^2/2M\nu `$ and the fractional energy $`z=E_m/\nu `$ of the produced meson. Here, $`k`$ ($`k^{}`$) and $`E`$ ($`E^{}`$) are the 4-momenta and the energies of the incident (scattered) positron and $`M`$ is the nucleon mass. The energy and momentum of the meson in the target rest frame are given by $`E_m`$ and $`P_m`$, respectively. The transverse momentum $`P_{}`$ of the produced meson is defined with respect to the virtual-photon direction. The angle $`\varphi `$ is the azimuthal angle of the scattered meson around the virtual photon direction with respect to the lepton scattering plane. Its magnitude is evaluated by

$$\mathrm{cos}\varphi =\frac{(\stackrel{}{q}\times \stackrel{}{k})(\stackrel{}{q}\times \stackrel{}{P_m})}{|\stackrel{}{q}\times \stackrel{}{k}||\stackrel{}{q}\times \stackrel{}{P_m}|}$$
(2)
and its sign by $`(\stackrel{}{q}\times \stackrel{}{k})\stackrel{}{P_m}/|(\stackrel{}{q}\times \stackrel{}{k})\stackrel{}{P_m}|`$. In the case of a target polarised longitudinally with respect to the incident positron direction, the target polarisation vector has components parallel and orthogonal with respect to the virtual photon. The longitudinal and the transverse component of the target polarisation vector are given by $`\mathrm{cos}\theta _\gamma `$ and $`\mathrm{sin}\theta _\gamma `$, respectively. Here, $`\theta _\gamma `$ is the angle between the incident positron and the virtual photon in the photon-nucleon centre-of-mass system. In the HERMES acceptance, the mean values of $`\mathrm{cos}\theta _\gamma `$ and $`\mathrm{sin}\theta _\gamma `$ are $`0.98`$ and $`0.16`$, respectively.

For the measurement of a single target-spin asymmetry the positron beam has to be unpolarised. The positrons in the HERA storage ring are naturally transversely polarised by the emission of synchrotron radiation Sokolov+:1964 . The transverse beam polarisation is transformed into longitudinal polarisation and back to transverse polarisation by two spin-rotators Barber+:1995  upstream and downstream of the HERMES experiment, respectively. The sign of the beam polarisation is changed about every two months, which requires moving the magnets of the spin rotators and inverting their magnetic field direction. The transverse and the longitudinal positron polarisation are continuously monitored by two Compton-backscattering polarimeters TPOL:1993 ; LPOL:2002 . To obtain an unpolarised beam, a polarisation and luminosity weighted average is formed from data of periods with opposite beam spin orientations. The averaged luminosity weighted beam polarisation in the analysed data sample is $`0.0`$%$`\pm 0.1`$%$`\text{(stat.)}\pm 2.0`$%(syst.).

The scattered positrons and associated mesons are detected by the HERMES spectrometer hermes:spectrometer  in the range $`0.04`$ rad $`<\theta <0.22`$ rad of the polar angle. Positron and hadron separation is based on the information from four detectors: a transition-radiation detector, a dual-radiator ring imaging Čerenkov detector (RICH) RICH:2002 , a preshower scintillation detector and a lead-glass electromagnetic calorimeter hermes-calo:1996 . This system provides an average positron identification efficiency exceeding 98% with a hadron contamination below 1%.

Events are required to contain only one electron or positron track with the same charge as the beam particle and in addition at least one meson. If more than one meson is detected in the spectrometer, only the meson with the largest momentum is considered. Identification of charged pions or kaons in the momentum range $`2`$ GeV $`<P_m<15`$ GeV is accomplished using the information from the RICH. Based on a Monte Carlo simulation of the RICH, detection efficiencies and contaminations for charged pions and kaons are determined as a function of the hadron momentum and the hadron multiplicity. The average identification efficiency in the RICH is 97% for pions and 88% for kaons. The detector properties are used to unfold the true hadron populations from the measured ones.

Neutral pions are identified by the detection of two photons in the electromagnetic calorimeter. The reconstructed energy for each photon is required to be at least 1.0 GeV and each photon hit in the calorimeter is required not to be associated with any charged particle track going in the same direction. The reconstructed photon-pair invariant mass $`M_{\gamma \gamma }`$ distribution shows a clear $`\pi ^0`$ mass peak with a mass resolution of about $`0.012`$ GeV, as displayed in Fig. 2. Neutral pions are selected within the invariant mass range $`0.10`$ GeV $`<M_{\gamma \gamma }<0.17`$ GeV. The background contribution from uncorrelated photons to the reconstructed invariant mass spectrum decreases with increasing $`z`$ of the hadron and ranges from 35% for the lowest $`z`$ bin to less than 5% for the highest bin. The asymmetry of this background is determined outside of the mass window of the $`\pi ^0`$ mass peak and is found to be compatible with zero. A correction is applied to account for this dilution.

The requirements imposed on the kinematics of the scattered positron are the same as those in the previous analyses of the hydrogen data hermes\_pi+\_ssa:1999 ; hermes\_pi0\_ssa:2001 : $`1`$ GeV$`{}_{}{}^{2}<Q^2<15`$ GeV2, $`W>2`$ GeV, $`0.023<x<0.4`$ and $`y<0.85`$. Contributions from target fragmentation are suppressed by requiring $`z>0.2`$ and exclusive meson production is suppressed by the cut $`z<0.7`$. A lower limit of $`50`$ MeV is imposed on $`P_{}`$ to ensure an accurate measurement of the azimuthal angle $`\varphi `$.

The target-spin asymmetry $`A_{\mathrm{UL}}`$ in the cross section of scattering an unpolarised beam (U) on a longitudinally polarised target (L) is evaluated as

$$A_{\mathrm{UL}}(\varphi )=\frac{1}{|P_\mathrm{L}|}\frac{N^{}(\varphi )/L^{}N^{}(\varphi )/L^{}}{N^{}(\varphi )/L^{}+N^{}(\varphi )/L^{}},$$
(3)
where $`N^{()}`$ is the number of pions or kaons detected for target spin antiparallel (parallel) to the direction of the beam momentum, $`L^{()}`$ is the respective dead-time corrected luminosity, and $`P_\mathrm{L}`$ the average longitudinal target polarisation. The asymmetry for $`\pi ^0`$ mesons is corrected for the dilution from the background of uncorrelated photons using the equation

$$A_{\mathrm{corr}}(\varphi )=\frac{N_{\pi ^0}+N_{\mathrm{bg}}}{N_{\pi ^0}}A_{\mathrm{meas}}(\varphi )\frac{N_{\mathrm{bg}}}{N_{\pi ^0}}A_{\mathrm{bg}}(\varphi ).$$
(4)
Here $`N_{\pi ^0}`$ and $`N_{\mathrm{bg}}`$ are the number of neutral pions and background-photon pairs, respectively, in each kinematic bin. The asymmetries for $`\pi ^0`$ mesons $`A_{\mathrm{meas}}`$ and for the background of uncorrelated photons $`A_{\mathrm{bg}}`$ are calculated as defined in Eq. (3). The background asymmetry is found to be consistent with zero.

In Fig. 3, the azimuthal asymmetries $`A_{\mathrm{UL}}(\varphi )`$ for the mesons $`\pi ^+`$, $`\pi ^0`$, $`\pi ^{}`$ and $`K^+`$ are displayed as a function of $`\varphi `$, integrated over the experimental acceptance in the kinematic variables $`x`$, $`P_{}`$, $`z`$, $`y`$ and $`Q^2`$. The average values are $`x=0.09`$, $`P_{}=0.40`$ GeV, $`z=0.38`$, $`y=0.53`$ and $`Q^2=2.4`$ GeV2.

The asymmetries defined in Eq. (3) were alternatively fit with the functions

$`f_1(\varphi )`$ $`=P_0+P_1\mathrm{sin}\varphi `$ (5)
$`f_2(\varphi )`$ $`=P_0+P_1\mathrm{sin}\varphi +P_2\mathrm{sin}2\varphi ,`$ (6)
which are indicated as curves in Fig. 3. All coefficients $`P_0`$ are compatible with zero. The $`\mathrm{sin}\varphi `$ and $`\mathrm{sin}2\varphi `$ amplitudes $`P_1`$ and $`P_2`$, obtained from the fit (6) to the data, are displayed in the figure as well. They represent the analysing powers $`A_{\mathrm{UL}}^{\mathrm{sin}\varphi }`$ and $`A_{\mathrm{UL}}^{\mathrm{sin}2\varphi }`$ of the azimuthal asymmetry. The numerical values are given in Tab. 1 for the various mesons, together with the previously reported analysing powers for pion production on longitudinally polarised protons hermes\_pi+\_ssa:1999 ; hermes\_pi0\_ssa:2001 .

The effects of smearing and spectrometer acceptance are estimated using a Monte Carlo simulation. For this purpose, a Monte Carlo simulation is carried out with various $`x`$, $`P_{}`$ or $`z`$ dependent $`\mathrm{sin}\varphi `$ and $`\mathrm{sin}2\varphi `$ amplitudes. Within the statistical accuracy, the reconstructed event distributions show the same $`\mathrm{sin}\varphi `$ and $`\mathrm{sin}2\varphi `$ amplitudes as the generated distributions. It is concluded from the Monte Carlo simulation that the measured asymmetries are not affected by acceptance or smearing effects of the detector in any significant way within the statistical precision of the Monte Carlo simulation of $`0.001`$ $`(0.002)`$ for charged mesons ($`\pi ^0`$).

An additional test of possible acceptance effects was performed using measurements with unpolarised hydrogen and deuterium gas targets. These measurements were regularly done after a few hours of data taking with polarised targets. The data were analysed with the kinematic requirements described above and the $`\mathrm{sin}\varphi `$ and $`\mathrm{sin}2\varphi `$ moments $`A_{\mathrm{UU}}^{\mathrm{sin}\varphi }`$ and $`A_{\mathrm{UU}}^{\mathrm{sin}2\varphi }`$ of the unpolarised cross section are extracted. They were calculated respectively as $`A_{\mathrm{UU}}^{\mathrm{sin}\varphi }=1/N_{i=1}^N\mathrm{sin}\varphi _i`$ and $`A_{\mathrm{UU}}^{\mathrm{sin}2\varphi }=1/N_{i=1}^N\mathrm{sin}2\varphi _i`$, summed over all $`N`$ events taken with unpolarised target gas. The moments $`A_{\mathrm{UU}}^{\mathrm{sin}\varphi }`$ and $`A_{\mathrm{UU}}^{\mathrm{sin}2\varphi }`$ were found to be consistent with zero as expected Mulders+:1996  for pions (kaons) within a statistical uncertainty of 0.002 (0.004).

The analysing powers $`A_{\mathrm{UL}}^{\mathrm{sin}\varphi }`$ extracted from a fit to the asymmetry $`A_{\mathrm{UL}}(\varphi )`$ have been compared to those obtained as moments:

$$A_{\mathrm{UL}}^W=\frac{1}{|P_\mathrm{L}|}\frac{{\displaystyle \frac{1}{L^{}}}{\displaystyle \underset{i=1}{\overset{N^{}}{}}}W(\varphi _i){\displaystyle \frac{1}{L^{}}}{\displaystyle \underset{i=1}{\overset{N^{}}{}}}W(\varphi _i)}{\frac{1}{2}[N^{}/L^{}+N^{}/L^{}]},$$
(7)
using the weighting functions $`W(\varphi )=\mathrm{sin}\varphi `$ and $`W(\varphi )=\mathrm{sin}2\varphi `$, respectively. This type of analysis is more sensitive to the experimental acceptance hermes\_pi0\_ssa:2001 . Based on a Monte Carlo simulation, corrections of about 15% had to be applied to account for a cross-contamination between the $`\mathrm{sin}\varphi `$ and $`\mathrm{sin}2\varphi `$ moments. After these corrections, the analysing powers extracted as moments according to Eq. (7) and those extracted using a fit to the cross section asymmetry $`A_{\mathrm{UL}}(\varphi )`$ agree within the systematic uncertainty assigned to effects of the spectrometer acceptance (see Tab. 3).

In Fig. 4, the analysing powers $`A_{\mathrm{UL}}^{\mathrm{sin}\varphi }`$ on the deuteron are shown as a function of $`x`$, $`P_{}`$ and $`z`$ together with earlier results obtained on the proton hermes\_pi+\_ssa:1999 ; hermes\_pi0\_ssa:2001 . The mean values of $`Q^2`$ for each $`x`$ bin and the mean values of $`P_{}`$ for each $`z`$ bin are given in Tab. 2.

The various contributions to the systematic uncertainty of the experimental results in Tab. 1, integrated over $`x`$, $`P_{}`$ and $`z`$, are listed in Tab. 3. For charged pions, the largest contributions originate from the determination of the target polarisation and from the upper limit for possible acceptance effects evaluated in a Monte Carlo simulation. For kaons the uncertainty in the hadron identification with the RICH detector also contributes significantly. For pions the RICH efficiency is larger and the contamination by other hadrons is smaller so that the contribution to the systematic uncertainty is small. The charged pion sample can be contaminated by pions from the decay of heavier mesons. The main contribution originates from the decay of exclusively produced $`\rho ^0`$ vector mesons and is estimated using a Monte Carlo simulation. It is found to be smaller than 5%. In addition, it is shown from the experimental data that there is no asymmetry in their azimuthal distribution. A contribution is added to the systematic uncertainty for this dilution. For $`\pi ^0`$ mesons there is a significant contribution to the systematic uncertainty due to the uncertainty in the determination of the background yield and its asymmetry.

The analysing power $`A_{\mathrm{UL}}^{\mathrm{sin}\varphi }`$ for $`\pi ^+`$ production on the deuteron is greater than zero, but smaller than that obtained on the proton (see Tab. 1). In the context of models based on transversity, the different size of the asymmetries for $`\pi ^+`$ production on the proton and deuteron can be attributed to the dominant role of the $`u`$-quark contribution to the observed asymmetry Efremov+:2002 . The analysing powers for $`\pi ^0`$ production are positive for both deuteron and proton and of similar size. For $`\pi ^{}`$ production, only the deuteron data suggest an asymmetry different from zero. The result for $`K^+`$ production on the deuteron is compatible with that of $`\pi ^+`$ production, which may indicate the dominant contribution from $`u`$-quarks fragmenting into kaons.

The results for the two targets show a similar behaviour in their kinematic dependences on $`x`$, $`P_{}`$ and $`z`$. The observed increase of $`A_{\mathrm{UL}}^{\mathrm{sin}\varphi }`$ with increasing $`x`$ suggests that the single-spin asymmetries are associated with valence quark contributions.

Two mechanisms have been proposed to explain the measured single-spin asymmetries. One is the combination of transversity-related chiral-odd distribution functions and chiral-odd fragmentation functions like the Collins fragmentation function. The other one is a final-state interaction of the struck quark with the target remnant (Sivers Effect) Brodsky+:2002 ; Ji+:2002 . There are no calculations for a deuterium target available for the latter scenario that can be compared with the present data.

Recent model calculations in the context of transversity Ma+:2002 ; Efremov+:2002  predict $`A_{\mathrm{UL}}^{\mathrm{sin}\varphi }`$ for scattering on the deuteron within the kinematic range of the HERMES experiment. These calculations are performed in the same framework than those mentioned in our earlier publications of the proton results hermes\_pi+\_ssa:1999 ; hermes\_pi0\_ssa:2001 , but take into account a recently detected sign error in the earlier theoretical calculations Efremov+:2001 ; Ma+:2001 . The transversity distributions calculated in the chiral quark soliton model ($`\chi `$QSM) Efremov+:2002 , in the SU(6) quark spectator diquark model Ma+:2002  and in a perturbative QCD model Ma+:2002  have been used as an input. The results of three of these calculations are displayed in Fig. 5 together with the experimental data. As can be seen from Fig. 5, the experimental data are well described by these calculations.

The analysing power $`A_{\mathrm{UL}}^{\mathrm{sin}2\varphi }`$ is an additional important observable, since it appears as a leading term in the expansion of the cross section for scattering electrons off a longitudinally polarised target, while the $`\mathrm{sin}\varphi `$ moment appears only at order $`1/Q`$ Mulders+:1996 . The dependence of $`A_{\mathrm{UL}}^{\mathrm{sin}2\varphi }`$ on $`x`$ is presented in Fig. 6. Integrated over the measured $`x`$-range, it is compatible with zero for all mesons (see Tab. 1). Also shown are corresponding values calculated in the $`\chi `$QSM Efremov+:2002 . For pions, the data do not favour the predicted trend towards negative asymmetries at large $`x`$.

The data presented so far are evaluated in the semi-inclusive kinematic range $`0.2<z<0.7`$. In Fig. 7, the $`z`$-dependencies of the single spin asymmetries $`A_{\mathrm{UL}}^{\mathrm{sin}\varphi }`$ on the proton and on the deuteron are shown up to $`z=1`$. The results on the proton have been obtained from experimental data taken with a longitudinally polarised hydrogen target as described in Ref. hermes\_pi+\_ssa:1999 , neglecting the upper $`z<0.7`$ cut, however. The mean experimental resolution in $`z`$ is $`\mathrm{\Delta }z=0.02`$ $`(0.04)`$ for charged (neutral) pions in the semi-inclusive regime and $`\mathrm{\Delta }z=0.07`$ $`(0.06)`$ for $`z1`$. It has to be pointed out that the experimental data shown as open symbols in Fig. 7 have not been corrected for this variation in $`\mathrm{\Delta }z`$. Also, the results for charged pions have not been corrected for a possible contamination by pions from the decay of exclusively produced $`\rho ^0`$ vector mesons.

At large $`z`$, a transition from the semi-inclusive regime to the exclusive regime is observed. In the exclusive limit ($`z1`$), the scattering process can be interpreted in terms of generalised parton distributions Mueller+:1994 ; Radyushkin:1997 ; Frankfurt+:2000 ; Belitzky+:2001 . The data show an inversion of the sign and an increase in absolute size of the single spin asymmetries, similar for both $`\pi ^{}`$ and $`\pi ^+`$. The size of the asymmetry for $`\pi ^0`$ mesons increases but it remains positive for all $`z`$. A large asymmetry in the exclusive limit has already been reported for exclusive $`\pi ^+`$ production on the proton hermes\_pi+\_exclusive:2002 . As shown in the lower panel of Fig. 7, there is a large analysing power for $`\pi ^0`$ production on the proton as well, while no significant asymmetry for $`\pi ^{}`$ production is found. No theoretical explanation yet exists for this experimental result.

In summary, single-spin azimuthal asymmetries for electroproduction of $`\pi ^+`$, $`\pi ^0`$, $`\pi ^{}`$ and $`K^+`$ mesons on a longitudinally polarised deuterium target have been measured for the first time. The dependences of these asymmetries on $`x`$, $`P_{}`$ and $`z`$ have been investigated. The results show positive asymmetries for $`\pi ^+`$ and $`\pi ^0`$ and an indication of a positive asymmetry for $`\pi ^{}`$ mesons. The asymmetry for $`K^+`$ is compatible with that for $`\pi ^+`$ mesons. These findings can be well described by model calculations where the asymmetries are interpreted in the context of transversity as the effect of combinations of chiral-odd distribution functions and chiral-odd fragmentation functions. Here, the observed asymmetries for $`\pi ^+`$ and $`K^+`$ are consistent with the assumption of $`u`$-quark dominance in the quark distribution and the fragmentation process. Together with earlier measurements on the proton hermes\_pi+\_ssa:1999 ; hermes\_pi0\_ssa:2001 , the results support the existence of non-zero chiral-odd distribution functions that describe the transverse polarisation of quarks. However, it cannot be excluded that a part of the observed asymmetry is due to an additional exchange of a gluon in the final state (Sivers effect) as discussed in Ref. Brodsky+:2002 . Furthermore, the data show an increase of the magnitude of the asymmetries for charged and neutral pions at large $`z`$ when approaching the exclusive regime.

We thank M. Anselmino, A. Bacchetta, A.M. Kotzinian, P.J. Mulders and P. Schweitzer for many interesting discussions on this subject. We gratefully acknowledge the DESY management for its support, the staffs at DESY and the collaborating institutions for their significant effort. This work was supported by the FWO-Flanders, Belgium; the Natural Sciences and Engineering Research Council of Canada; the ESOP, INTAS and TMR network contributions from the European Union; the German Bundesministerium für Bildung und Forschung; the Italian Instituto Nazionale di Fisica Nucleare (INFN); Monbusho International Scientific Research Program, JSPS and Toray Science Foundation of Japan; the Dutch Foundation for Fundamenteel Onderzoek der Materie (FOM); the U.K. Particle Physics and Astronomy Research Council; and the U.S. Department of Energy and National Science Foundation.


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# Existence of Positive Solution of a Class of Semi-linear Sub-elliptic Equation in the Entire Space 𝐼𝐻^𝑛

## 1 Introduction

Let $`H^n`$ be the Heisenberg group, where $`\mathrm{\Delta }_{H^n}=\underset{i=1}{\overset{n}{}}(X_i^2+Y_i^2)`$ is its subelliptic Laplacian operator, $`\rho (x)`$ is the distance function from $`x`$ to the point $`0`$. Under the real coordinate $`(x_1,\mathrm{},x_n,y_1,\mathrm{},y_n,t)`$, the vector field $`X_i`$ and $`Y_i`$ are defined by

$$\begin{array}{cc}X_i=\frac{}{x_i}+2y_i\frac{}{t}\hfill & \\ & i=1,2,\mathrm{},n.\hfill \\ Y_i=\frac{}{y_i}2x_i\frac{}{t}\hfill & \end{array}$$

and the distance function $`\rho (x)`$ is defined by

$$\rho (x)=(\underset{i=1}{\overset{n}{}}(x_i^2+y_i^2)^2+t^2)^{\frac{1}{4}}.$$

It is well known that $`\{X_i,Y_i\}`$ generate the real Lie algebra of Lie group $`H^n`$ and

$$[X_i,Y_i]=4\delta _{ij}\frac{}{t},i,j=1,\mathrm{},n.$$

In this Lie group, there is a group of natural dilations defined by

$$\delta _\lambda (x,y,t)=(\lambda x,\lambda y,\lambda ^2t),\lambda >0$$

where $`x=(x_1,\mathrm{},x_n),y=(y_1,\mathrm{},y_n)`$. With this group of dilations, the Lie group $`H^n`$ is a two step stratified nilpotent Lie group of homogeneous dimension $`Q=2n+2`$, and $`\mathrm{\Delta }_{H^n}`$ is homogeneous partial differential operator of degree 2. In this paper, we deal with the existence of the positive solution to the following semi-linear subelliptic equation

$$\{\begin{array}{cc}\mathrm{\Delta }_{H^n}uu+u^p=0\hfill & inH^n\hfill \\ u>0\hfill & inH^n\hfill \\ u(x)0\hfill & \rho (x)\mathrm{}\hfill \end{array}$$
(1)
where $`1<p\frac{Q+2}{Q2}`$

Equation (1) comes from the CR-Yamabe problem(see ) and has been studied by several authors(see , , and the references therein). In the paper , they studied the problem

$$\{\begin{array}{cc}\mathrm{\Delta }_{H^n}u+u^p=0\hfill & inH^n\hfill \\ u>0\hfill & inH^n\hfill \end{array}$$

and showed that if the problem’s solution is cylindrical, then it must be 0. In the works  and , for $`1<p<\frac{Q+2}{Q2}`$ they have gotten some results on the existence of the boundary value problem of equation (1) on the bounded domain and unbounded domain with thin condition. In these condition, the corresponding functional satisfies P.S condition, and the normal variational methods works. In the entire space $`H^n,1<p\frac{Q+2}{Q2}`$, the Folland-Stein-Soblev embedding lost compactness. The corresponding functional lost P.S condition. Their methods don’t work. To our knowledge, in these situation, there exists no report of progress on this problem up to now.

In the Euclidean space, the similar problem was studied by many peoples(see , ,, and the references therein). In , W-Y Ding and W-M Ni gave some beautiful results on the similar semilinear problem in Euclidean. But for our problem, as a consequence of , it may not have radical symmetry solution. So our problem is more subtle then them. This is one of the reasons to study the problem (1).

Our main result is the following theorem.

Theorem 1  For $`1<p<\frac{Q+2}{Q2}`$, the problem (1) has a solution $`uE`$.

To proof our theorem, we first give some preliminary definition and Lemmas. For $`uC_0^{\mathrm{}}(H^n)`$ the $`C^{\mathrm{}}`$ smooth funciotn with compact support, we define norm $``$ by

$$u^2=\underset{IR^n}{}|_Hu|^2+u^2$$
(2)
where $`_H=(_{X_1},\mathrm{},_{X_2},_{Y_1},\mathrm{},_{Y_n})`$. Then we define the Folland-Stein-Sobolev space by $`E=\overline{C_0^{\mathrm{}}(H^n)}`$, the completion of $`C_0^{\mathrm{}}(H^n)`$ under the norm (2). This is a Hilbert space. For $`\mathrm{\Omega }H^n`$, the completion of $`C_0^{\mathrm{}}(\mathrm{\Omega })`$ in $`E`$ is denoted by $`E(\mathrm{\Omega })`$, it is a Hilbert space too. These spaces have embedding theorem like the Sobolev embedding.

Lemma 1.1  $`uE,1<q\frac{2Q}{Q2}`$, we have

$$u_{L^q}Cu$$
(3)
where $`C`$ is a constant independent of $`u`$.

Lemma 1.2  Let $`\mathrm{\Omega }H^n`$ be bounded smooth domain in $`H^n`$, the embedding

$$E(\mathrm{\Omega })L^p(\mathrm{\Omega }),1p<\frac{2Q}{Q2}$$
(4)
is compact.

We use two methods to solve the problem (1).

The first method:

In the Folland-Stein-Sobolev space $`E`$, we define the energy functional

$$J(u)=\frac{1}{2}\underset{H^n}{}|_Hu|^2+u^2\frac{1}{p+1}u^{p+1},uE$$
(5)
Let $`B_k`$ be the ball $`B_k=\{xH^n|\rho (x)<k\}`$. Denoted the completion $`C_0^{\mathrm{}}(B_k)`$ in $`E`$ by $`E_k`$, then

$$\begin{array}{c}E_kE_{k+1}E\hfill \\ \\ E=\overline{\underset{k=1}{\overset{\mathrm{}}{}}E_k}\hfill \end{array}$$

Set $`J_k=J|_{E_k}`$, choose an element $`u_0E_1E_1\mathrm{}E_kE`$, such that

$$J(u_0)<0,J_k(u_0)<0$$
(6)
Let $`\mathrm{\Gamma },\mathrm{\Gamma }_k`$ defined by

$$\begin{array}{c}\mathrm{\Gamma }=\{r:[0,1]E|r(0)=0,r(1)=u_0,r\text{is continuous}\}\hfill \\ \mathrm{\Gamma }_k=\{r:[0,1]E_k|r(0)=0,r(1)=u_0,r\text{is continuous}\}\hfill \end{array}$$
(7)
Define

$$\begin{array}{c}c=\underset{r\mathrm{\Gamma }}{\mathrm{min}}\underset{0t1}{\mathrm{max}}I(r(t)),\hfill \\ c_k=\underset{r\mathrm{\Gamma }_k}{\mathrm{min}}\underset{0t1}{\mathrm{max}}I_k(r(t)).\hfill \end{array}$$
(8)
For $`\mathrm{\Gamma }_k\mathrm{\Gamma }_{k+1}\mathrm{\Gamma }`$, we have

$$c_kc_{k+1}c>0$$
(9)
By mountain-path Lemma, we know $`c_k`$ is a critical value of the functional $`I_k`$. Let $`u_k`$ be a critical point of $`I_k`$ corresponding the critical value, that is $`I_k(u_k)=c_k`$ and $`I_k^{}(u_k)=0`$. By some complex estimates of $`u_k`$, we shall proof $`c`$ is a critical value of $`I`$, and $`u_ku`$ in $`E,u`$ is a critical point and $`I(u)=c`$. By the maximum principle we get a positive solution of (1).

the second method:

Define $`M=\{uE|\underset{H^n}{}|u|^{p+1}=1\}E`$. On the manifold, we define

$$I(u)=\frac{1}{2}\underset{H^n}{}|_Hu|^2+u^2$$
(10)
The main idea is, for $`I`$ have bounded from below, we define

$$c=\underset{uM}{inf}I(u)$$
(11)
Then we prove that the critical $`c`$ can be arrived by $`uM`$. Then by Lagrane multiplier method, we know the problem have a positive solution.

For the second method of subcritical case to overcome the difficult that the functional $`I`$ lost P.S condition, we give some Lions’ version concentration-compactness Lemmas. This is one of bones in this work.

For the case $`1<p<\frac{Q+2}{Q2}`$, by our proof we know, for every smooth bounded domain $`\mathrm{\Omega }`$, the Dirichlet problem

$$\{\begin{array}{cc}\epsilon ^2\mathrm{\Delta }_{H^n}uu+u^p=0\hfill & in\mathrm{\Omega }\hfill \\ u>0\hfill & in\mathrm{\Omega }\hfill \\ u=0\hfill & on\mathrm{\Omega }\hfill \end{array}$$
(12)
have a least energy solution $`u_\epsilon `$. Let $`x_\epsilon \mathrm{\Omega },u(x_\epsilon )=\underset{x\mathrm{\Omega }}{\mathrm{max}}u(x)`$, like J.Wei in the paper , we want to know what is the $`\underset{\epsilon 0}{lim}\mathrm{dist}(x_\epsilon ,\mathrm{\Omega })`$. In one of our preparing works (), we shall proof that

$$\mathrm{dist}(x_\epsilon ,\mathrm{\Omega })\underset{x\mathrm{\Omega }}{\mathrm{max}}d(x,\mathrm{\Omega }),\epsilon 0$$

and we shall publish this result elsewhere. In the following, as the Euclidean case, we shall study the effect of topology of the unbounded $`\mathrm{\Omega }`$.

## 2 The Proofs of Main Theorem

2.1 The first method

In this subsection, we shall use the mountain-path lemma and domain extension method to proof the Theorem in the subcritical exponent case $`1<p<\frac{Q+2}{Q2}`$. And more, we get that the problem have a least energy solution, and proof that

$$c=\underset{r\mathrm{\Gamma }}{inf}\underset{0t1}{\mathrm{max}}J(rt)$$

can be arrived by a path $`r_0\mathrm{\Gamma }`$. This is the foundation of our paper .

For the Folland-Stein-Sobolev embedding $`E_kL^{p+1},1<p<\frac{Q+2}{q2}`$ is compact (), by the standard method we have the following lemma.

Lemma 2.1  For $`kIN`$, the functional $`J_k`$ defined in the Hilbert $`E_k`$ satisfies P.S condition.

For an element $`eE_1E_kE,e=1,kIN`$, we have

$$J_k(te)=\frac{t^2}{2}\frac{t^{p+1}}{p+1}|e|^{p+1}𝑑x$$
(13)
For $`p+1>2`$, we have the following Lemma 2.2.

Lemma 2.2  For any $`kIN`$, there exists an element $`u(\underset{k=1}{\overset{\mathrm{}}{}}E_k)E`$, such that

$$I_k(u_0)<0,J(u_0)<0$$
(14)
For $`u=1`$, we have

$$J(tu)=\frac{t^2}{2}\frac{t^{p+1}}{p+1}\underset{H^n}{}|u|^{p+1}$$
(15)
By the Lemma 2.1, there is a positive constant $`C>0`$ independent of $`u`$, such that

$$\underset{H^n}{}|u|^{p+1}C$$
(16)
Combine the inequality (16) and the formula (15) we have

$$J(tu)\frac{t^2}{2}\frac{t^{p+1}}{p+1}C$$
(17)
Since $`p+1>2`$, we have the following Lemma 2.3.

Lemma 2.3  There is a neighborhood $`U_k`$ of 0 respectively in $`E_k`$, and a neighborhood $`U`$ of 0 in $`E`$, such that

$$J_k(u)\alpha ,J(u)\alpha $$
(18)
for all $`uU_k`$ or $`uU`$ respectively, where $`\alpha >0`$ is a positive constant.

From mountain path lemma and the above Lemma, we have the following Lemma 2.4.

Lemma 2.4  The value $`c_k`$ is a critical value of functional $`I_k`$, and more we have

$$c_kc_{k+}c>\alpha >0$$
(19)
Suppose $`u_k`$ is a critical point of $`J_k`$ corresponding the critical value $`c_k`$. Then we have

$$J^{}(u_k)u_k=u_k^2\underset{H^n}{}|u|^{p+1}$$
(20)
$$J(u_k)=u_k^2\frac{1}{p+1}\underset{H^n}{}|u_k|^{p+1}=c_k>\alpha $$
(21)
From (20) and (21), we have

$$c_1\frac{p}{p+1}u_k^2=c_k>\alpha $$
(22)
That is to say $`\{u_k\}`$ is a bounded point set in $`E`$. So there is a subset of $`\{u_k\}`$, we still denote it by $`\{u_k\}`$, and a point $`\overline{u}E`$, such that

$$u_k\overline{u},$$
(23)
and $`\overline{u}0`$ is a weak solution of

$$\mathrm{\Delta }_{H^n}uu+u^p=0inH^n.$$

By the method of Ding and Ni(see ), If we can prove $`\overline{u}0`$, then $`\overline{u}`$ is a critical of functional $`J`$, and

$$J(\overline{u})=c.$$

Then by maximum principal, we know $`\overline{u}`$ is a positive solution of problem (1), and it is a positive least energy solution of it. So if we can prove $`\overline{u}0`$, our theorem is proved. Next we locus on this problem.

For $`u_kE`$ is a solution of

$$\mathrm{\Delta }_{H^n}uu+u^p=0inH^n,$$

we have

$$|_{H^n}u_k|^2+u_k^2u_k^{p+1}=0.$$

Then we have

$$u_k^2(u_k^{p1}1)=|_{H^n}u_k|^20.$$

Since $`u_k0`$, there must be exists $`\xi _kH^n`$, such that

$$u_k(\xi _k)=\underset{H^n}{\mathrm{max}}u_k1$$
(24)
We claim that $`\{\xi _k\}`$ is a bounded subset of $`H^n`$. This is our next lemma.

Lemma 2.5 The subset $`\{\xi _k\}`$ defined by (24) is a bounded subset of $`H^n`$.

Proof. For $`\{u_k\}`$ is bounded subset of $`E`$, by some standard estimates and the Folland-Stein-Sobelev embedding theorem, there is a positive constant $`\alpha `$, such that

$$\underset{H^n}{sup}u_k\alpha .$$

So there is a large enough $`\beta >0`$ such that

$$\mathrm{\Delta }_Hu_k+\beta u_k=u_k^p(\beta 1)u_k0$$
(25)
Define function $`v=ce^{\delta \rho (x)},`$ on $`H^n`$ where $`c`$ and $`\delta `$ are positive number which shall be determined.

For $`\mathrm{\Delta }_H`$ is a 2 order operator. So $`\mathrm{}_Hv`$ is a -1 order function. Then there are large positive numbers $`R_0`$, and $`\delta >0`$, such that for all $`\xi ,\rho (\xi )>R_0`$, and large positive number $`\beta ^{}`$ such that

$$\mathrm{\Delta }_Hv(\xi )+\beta ^{}v(\xi )0.$$
(26)
Choose large positive number $`R_0`$, for all $`\xi ,\rho (\xi )=R_0,`$ we have

$$(vu)(\xi )0$$
(27)
Set $`\beta ^{\prime \prime }=\mathrm{max}\{\beta ,\beta ^{}\},`$, then by (25, 26, 27)we have

$$\{\begin{array}{cc}\mathrm{\Delta }_{H^n}(vu)+\beta ^{\prime \prime }(vu)0\hfill & inH^n\backslash B_{R_0}(0),\hfill \\ vu0,on(H^n\backslash B_{R_0}(0)\hfill & \end{array}$$

By the maximum principle, this implies that for all $`\xi >R_0,`$ , for any $`k`$,

$$u_kce^{\delta \rho (\xi )}$$
(28)
The inequality implies that $`\xi _k`$ is bounded.

For the Folland-Stein-Sobolve spaces have similar embedding theorems with the Sobolev embedding and the Sub-Laplacian operator have similar characters with the Laplacian operator(see ), so by the method of Noussair, Ezzat S. and Swanson, Charles A(see ), we have the following lemma.

Lemma 2.6. There is a subsequence of $`\{u_k\}`$ we still denote it by $`\{u_k\}`$, such that for any bounded domain $`\mathrm{\Omega }`$, $`u_k\overline{u}`$ in $`C^{2+\alpha }(\mathrm{\Omega })`$, where $`\alpha `$ is a positive number. That is $`u_k\overline{u}`$ in $`C_{loc}^{2+\alpha }(H^n)`$.

From Lemma 2.5 and Lemma 2.6, we have the following Lemma.

Lemma 2.7. The functional defined by (23)

$$\overline{u}0.$$

Proof. For $`\{\xi _k\}`$ is bounded in $`H^n`$, so we may assume that there is a $`\xi _0H^k`$, such that $`\xi _k\xi _0`$. So we have

$$u_k(\xi _k)\overline{u}(\xi _0).$$

By the inequality (24), we have $`u(\xi _0)1`$. That is to say $`u0`$. $`\mathrm{\#}`$

2.2 the second method

In this subsection, we shall use the constraint functional method to study the problem (1). First we defined the manifold

$$M=\{uE||u|^{p+1}𝑑x=1\}$$
(29)
On this manifold, define a functional

$$I(u)=\frac{1}{2}|_Hu|^2+u^2,uM$$
(30)
It is obviously that the functional $`I`$ is bounded from below. We shall study whether the functional defined by (30) arrive its minimum on the manifold $`M`$. That is we want to find a $`u_0M`$, such that

$$I(u_0)=\underset{uM}{\mathrm{min}}I(u)=\alpha $$
(31)
For the embedding $`EL^{p+1}(H^n)`$ lost compactness, so the functional $`I`$ does not satisfy P.S condition. To overcome this difficult, we first transplant the Lions’ concentration-compactness Lemma() to Heisenberg group case.

Lemma 2.2.1  Let $`(\rho _m)_{m1}`$ be a sequence in $`L^1(H^n)`$ satisfying:

$$\rho _m0\text{in}H^n,\underset{H^n}{}\rho _m=1$$
(32)
Then there exists a sequence $`(\rho _{m_k})_{k1}`$ satisfying one the following three possibilities:

(i) (Compactness) There exists a sequence $`z_kH^n`$ such that $`\rho _{n_k}(z)`$ is tight, i.e

$$\epsilon >0,R<\mathrm{},\underset{z_k+B_R}{}\rho _{n_k}(z)𝑑z1\epsilon ;$$
(33)
(ii) (Vanishing) $`\underset{k\mathrm{}}{lim}\underset{yB_R}{sup}\rho _{n_k}(z)𝑑z=0,`$, for all $`R<\mathrm{}`$;

(iii) (Dichotomy) There exists $`\alpha (0,1)`$ such that for all $`\epsilon >0`$, there $`k_01`$ and $`\rho _k^1,\rho _k^2L_+^1(H^n)`$ satisfying for $`kk_0`$,

$$\begin{array}{c}\rho _{n_k}(\rho _k^1+\rho _k^2)_{L^1}\epsilon \hfill \\ \\ |\underset{H^n}{}\rho _k^1𝑑z\alpha |\epsilon \hfill \end{array}$$
(34)
and dist(supp$`\rho _k^1,\text{supp}\rho _k^2)+\mathrm{},k+\mathrm{}`$, where $`dz=dxdydt`$.

For the measure $`dxdydt`$ on $`H^n`$, it has translation invariant and it is a homogeneous on dilations $`\delta _\lambda `$ like the measure on $`IR^{2n+1}`$. That is for $`uL^1(H^n),z_0H^n`$,

$$\begin{array}{c}\underset{H^n}{}u(z)𝑑z=\underset{H^n}{}u(zz_0^1)𝑑z\hfill \\ \underset{H^n}{}u(z_\lambda z)𝑑z=\lambda ^Q\underset{H^n}{}u(z)𝑑z\hfill \end{array}$$
(35)
Where $`\lambda >0`$. So, just like P.L.Lions, we can prove this lemma. We omit its proof here.

Let $`\{u_m\}M,I(u)\underset{uM}{\mathrm{min}}I(u)=\alpha ,m\mathrm{}`$. By the Folland-Stein-Sobolev and there exists a constant $`c>0`$, such that

$$u_pcu,uE$$
(36)
So $`\alpha =\underset{uM}{\mathrm{min}}I(u)>0`$.

Lemma 2.2.2  For the sequence $`\{u_m\}`$, there is a positive number $`\{R_m\}`$, for the function

$$\nu _m(z)=R_m^{\frac{1}{q}}u_m(\delta _{\frac{1}{R_m}}(z)$$
(37)
such that

$$\underset{zH^n}{sup}\underset{B_1(z)}{}|\nu _m|^q(w)𝑑w=\frac{1}{2}=\underset{B_1(0)}{}|\nu _m|^q𝑑w$$
(38)
Proof. For $`u_m\{u_m\},r>0,z_m^rH^n`$, we define

$$u_m^r=r^{n/q}u_m(\delta _{\frac{1}{r}}(zz_m^r))$$
(39)
From (35), we have

$$\underset{H^n}{}u_m^r^q=r^n\underset{H^n}{}|u_m(\delta _{\frac{1}{r}}(zz_m^r))|^q=\underset{H^n}{}|u_m|^q=1$$
(40)
So there exists a $`R_m`$, for every $`z_m^{}H_n`$,

$$\underset{B_1(z_m^{})}{}|u_m^{p+1}|^q𝑑z=\underset{B_{R_m}(0)}{}|u_m|^q𝑑z=\frac{1}{2}$$
(41)
Define $`\nu _m(z)=R_m^{2/n}u_m(\delta _{\frac{1}{R_m}}z)`$. From the formula (41), we have

$$\underset{zH^n}{sup}\underset{B_1(z)}{}|\nu _m|^q𝑑x=\underset{B_1(0)}{}|\nu _m|^q𝑑x=\frac{1}{2}\mathrm{\#}.$$

Let $`\rho _m=|\nu _m|^q`$, then $`\rho _mL^1(H^n)`$, and $`\underset{H^n}{}\rho _m=1`$. From Lemma 2.2.2, we know case (ii) in Lemma 2.2.1 can’t occurs. We declare that the case (iii) can’t also. That is our following lemma.

Lemma 2.2.3 For the function $`\rho _mL^1(H^n)`$ defined above, there is $`z_mH^n`$, such that $`\rho _m(zz_m^1)`$ is tight, i.e. there exists a number $`R>0`$ large enough, such that

$$\underset{z_mB_R(0)}{}\rho _m(z)𝑑z1\epsilon $$
(42)
Proof. By th Lemma 2.2.1 and Lemma 2.2.2, we only need prove the case(iii) in Lemma 2.2.1 does’t occur. On contrary, there is a number $`\beta (0,\lambda )`$ such that for all $`\epsilon >0`$, there exist $`m_01`$ and $`\rho _m^1,\rho _m^2L^1(H^n)`$ satisfies for $`m>m_0`$,

$$\begin{array}{c}\rho _m(\rho _m^1+\rho _m^2)_m\epsilon \hfill \\ \\ |\underset{H^n}{}\rho _m^1𝑑z\beta |\epsilon \hfill \\ \\ |\underset{H^n}{}\rho _m^2𝑑z(1\beta )|\epsilon \hfill \end{array}$$
(43)
and $`\text{dist(supp}\rho _m^1,\text{supp}\rho _m^2)+\mathrm{}`$.

Choose $`r_m>0`$, such that supp$`\rho _m^1B_{r_m}(0)`$, supp$`\rho _m^2H^n\backslash B_{r_m}(0)`$, and $`r_m+\mathrm{}`$ as $`m+\mathrm{}`$. Set $`\phi C_0^{\mathrm{}}(B_2(0))`$ such that $`\phi 1`$ in $`B_1(0),1\phi 1`$ and let $`\phi _m(\frac{x}{r_m})`$. Decompose

$$\nu _m=\phi _m\nu _m+(1\phi _m)\nu _m$$

Then

$$\begin{array}{cc}\underset{H^n}{}|_H\nu _m|^2+|\nu _m|^2=\hfill & \underset{H^n}{}|_H(\phi _m\nu _m)|^2+\underset{H^n}{}(\phi _m\nu _m)^2+\underset{H^n}{}|_H(1\phi _m)\nu _m)|^2\hfill \\ & +\underset{H^n}{}(1\phi _m)\nu _m)^2+2\underset{H^n}{}_{H^n}(\phi _m\nu _m)(1\phi _m)\nu _m)\hfill \\ & +2\underset{H^n}{}\phi _m\nu _m(1\phi _m)\nu _m\hfill \end{array}$$
(44)
Next we estimate the last two terms in formula (44) respectively.

$$\begin{array}{c}\underset{H^n}{}_H(\phi _m\nu _m)_H((1\phi _m)\nu )\hfill \\ \underset{H^n}{}|_H(\phi _m\nu _m)_H(1\phi _m)\nu _m)|\hfill \\ \\ \underset{H^n}{}|_H(\phi _m\nu _m)||_H((1\phi _m)\nu _m))|\hfill \\ \\ =\underset{B_{2r_m}(0)\backslash B_{r_m}(0)}{}|_H(\phi _m\nu _m)||_H((1\phi _m)\nu _m)|\hfill \\ \\ \frac{1}{2}\left[\underset{B_{2r_m}(0)\backslash B_{r_m}(0)}{}|_H(\phi _m\nu _m)|^2+\underset{B_{2r_m}(0)\backslash B_{r_m}(0)}{}|_H((1\phi _m)\nu _m)|^2\right]\hfill \\ \\ =\frac{1}{2}[\underset{B_{2r_m}(0)\backslash B_{r_m}(0)}{}\{|_H(\phi _m|^2\nu _m^2+2_H\phi _m_H\nu _m\phi _m\nu _m+\phi _m^2|_m\nu _m|^2)|\hfill \\ +|_h\phi _m|^2\nu _m^22_H\phi _m_H\nu _m\phi _m\nu _m+(1\phi _m)^2|_m\nu _m|^2\}\hfill \\ \\ c\underset{B_{2r_m}(0)\backslash B_{r_m}(0)}{}\nu _m^2+|_H\nu _m|^2\hfill \\ \\ c\underset{B_{2r_m}(0)\backslash B_{r_m}(0)}{}|\nu _m|^{p+1}\hfill \end{array}$$

Then we have

$$\underset{H^n}{}_H(\phi _m\nu _m)((1\phi _m)\nu _m)+\phi _m\nu _m(1\phi _m)\nu _mc\underset{B_{2r_m}(0)\backslash B_{r_m}(0)}{}|\nu _m|^{p+1}$$
(45)
From the proof of Lemma 2.2.1, we have $`\epsilon >0,m_0`$, such that for $`m>m_0`$,

$$\begin{array}{c}\underset{B_{r_m}(0)}{}|\nu _m|^{p+1}\beta \hfill \\ \\ \underset{H^n\backslash B_{r_m}(0)}{}|\nu _m|^{p+1}1\beta +\epsilon \hfill \end{array}$$
(46)
So by the inequalities of (43) and (46), we have

$$\underset{B_{2r_m}(0)\backslash B_{r_m}(0)}{}|\nu _m|^{p+1}c[\underset{H^n}{}|\nu _m|^{p+1}\underset{H^n}{}(\rho _m^1+\rho +m^2)]+\epsilon $$
(47)
The inequality (47) means that

$$\underset{B_{2r_m}(0)\backslash B_{r_m}(0)}{}|\nu _m|^{p+1}=o(1)$$
(48)
where $`o(1)0,m+\mathrm{}`$.

Combine the formula (48),(44) and the inequality (45) we have

$$\underset{H^n}{}|_H\nu _m|^2+|\nu _m|^2=\phi _m\nu _m^2+(1\phi _m)\nu _m^2+o(1)$$
(49)
By the Folland-Stein-Sobolev embedding and formula (49), we have

$$\begin{array}{cc}\nu _m^2\hfill & =\phi _m\nu _m^2+(1\phi _m)\nu _m^2+o(1)\hfill \\ & \\ & S(\phi _m\nu _m_{L^{p+1}}^{\frac{2}{p+1}}+(1\phi _m)\nu _m^{\frac{2}{p+1}})+o(1)\hfill \\ & \\ & S(\underset{H^n}{}\rho _m^1)^{\frac{1}{p+1}}+(\underset{H^n}{}\rho _m^2)^{\frac{2}{p+2}})+o(1)\hfill \\ & \\ & S(\beta ^{\frac{2}{p+1}}+(1\beta )^{\frac{2}{p+1}})+o(1)\hfill \end{array}$$
(50)
By the define of $`\alpha `$ and the independence of domain of the best Folland-Stein-Sobolev constant we know $`S=\alpha `$. And by the define $`\nu _m`$ we have $`\nu _m^2\alpha (m\mathrm{})`$. So by the inequality (50)we have

$$\alpha \alpha (\beta ^{\frac{2}{p+1}}+(1\beta )^{\frac{2}{p+1}})$$
(51)
For $`\frac{2}{p+1}<1,0<\beta <1`$, we get $`\alpha >\alpha `$, that is a contradiction. So the case (iii) of Lemma 2.2.1 can’t occur.

Theorem 2.2.1 There is a subsequence of $`\{\nu _m\}`$, we still denote it by $`\{\nu _m\}`$, there exists a point $`u_0M`$, such that $`\nu _m\nu _0`$ in $`E`$, and

$$I(\nu _0)=\alpha $$

Proof: For $`\{\nu _m\}`$ is bounded in $`E`$, we have a subsequence of it, and we still denote it by $`\{\nu _m\}`$, and there exists a $`\epsilon ,\nu _0E`$ such that $`\nu _m\nu _0`$. For $`\epsilon <\frac{1}{2}`$, and Lemma 2.1.2, we get $`(z_mB_R(0))B_1(0)\mathrm{}`$, so the points sequence $`\{z_m\}`$ is a bounded set. That is implies that tere is a subsequence of $`\{z_m\}`$, we still denote it by $`\{z_m\}`$ and a point $`z_0H^n`$, such that $`z_mz_0,(m\mathrm{})`$. Then we have

$$\underset{z_0B_{1+2R}(0)}{}|\nu _m|^{p+1}>1\epsilon $$
(52)
From the Folland-Stein-Sobolev emedding, we know there is a subsequence $`\{\nu _m\}`$ we still denote it by $`\{\nu _m\}`$, such that $`\nu _m\nu _0,m\mathrm{}`$ in $`H^{1,2}(B_{1+2R}(0))`$ and

$$\underset{z_0B_{1+2R}(0)}{}|\nu _0|^{p+1}>1\epsilon $$
(53)
From the Fatou Lemma we know

$$\underset{H^n}{}|\nu _0|^{p+1}\underset{m\mathrm{}}{lim}\underset{H^n}{}|\nu _m|^{p+1}=1$$
(54)
Combine the inequalities of (53) and (54), we have

$$\underset{H^n}{}|\nu _0|^{p+1}=1$$
(55)
This implies that $`\nu _m\nu _0,m\mathrm{}`$ in $`E`$. So we have

$$I(\nu _0)=\underset{m\mathrm{}}{lim}I(\nu _m)=\alpha $$

By the Lagrange multiplier, there is a positive number, such that

$$\mathrm{\Delta }_{H^n}\nu _0\nu _0+\lambda \nu _0^p=0$$

Set $`u_0=\lambda ^{p1}u`$, then we have

$$\mathrm{\Delta }_{H^n}u_0u_0+u_0^p=0$$

By the maximum principle, we get our our main theorem 1.1.

Acknowledgments

I would like thanks Prof. Zhouping Xin for his inviting me to visit IMS and useful discussions. I would like to thanks Prof. Juncheng Wei for he let me notice this problem and helpful discussions. I would like thanks Prof. Changfeng Gui, Prof. Yongsheng Li, Prof. Quanshen Jiu and Prof. Jiabao Su for their useful discussions. This work is finished during my visiting IMS of The Chinese University of Hong Kong. And is partially supported by the Zheng Ge Ru Foundation, Mathematical Tianyuan Fund with grand No. 10226002 and the Natural Science Foundation of Educational Committee of Henan Province with grand Number 2000110010


text:
# Asymptotically Efficient Estimation of Linear functionals in Inverse regression Models

## 1. Introduction

In the nonparametric regression model with either direct or indirect observations, both the parameter of actual interest (the unknown regression function) and the nuisance parameter (the error density that may also be unknown) are infinite dimensional. In this paper we consider the problem of asymptotically efficient (AE) estimation of a linear functional of the regression function. In other words, our aim is to construct estimators that are asymptotically normal with smallest possible variance. Linear functionals are of independent interest and often studied in the literature (Ibragimov & Hasminskii (1984), Goldenshluger & Pereverzev (2000)). They are also important because the Fourier coefficients of an expansion of the regression function in an orthonormal basis are linear functionals. Below we will briefly return to the latter aspect.

Suitable estimators of the regression function naturally yield estimators of the linear functional by substitution in the inner product representing this functional. In van Rooij *et al.* (1999) it has been proved that, when a linear functional of an indirectly sampled density is to be estimated, substitution of a suitable density estimator produces an AE estimator of the functional. Even when the error density is known but arbitrary, the situation to be considered here, AE estimation of a linear functional of the regression function turns out to be an essentially harder problem. Klaassen *et al.* (2001) have shown that substitution of the usual type of regression function estimator does not produce an AE estimator of the functional, except possibly when the error distribution is normal. Another, somewhat simpler natural estimator could be easily proposed for linear functionals, but this estimator is equivalent with and in certain cases even identical to the plug-in estimator and hence not AE either. It follows in particular that the usual orthonormal series type estimator of the regression function is obtained from estimators of the Fourier coefficients that are not AE in the above sense. Nevertheless such estimators do in general attain the best convergence rate for the mean integrated squared error.

In this paper we will focus on the question of how to improve the plug-in estimator of a linear functional. The plug-in-method is a simple device to construct an estimator of just about any functional. We will see, moreover, that an estimator of the regression function will also be needed in the improvement procedure. Although not AE, the plug-in estimator is $`\sqrt{n}`$ \- consistent. This means that the method to construct an AE estimator given a $`\sqrt{n}`$ \- consistent one, described in great generality in Bickel *et al.* (1993) for infinite dimensional parameters, applies. See also Pfanzagl (1994) for improving $`\sqrt{n}`$ \- consistent estimators in models with finite dimensional parameter. In principle our result would fit into the general theory as described in particular in Chapter 7 of Bickel *et al.* (1993). We prefer, however, to provide a self-contained and independent derivation in this paper. On the one hand the indirect regression model is sufficiently specific to allow explicit calculations, on the other hand it is of sufficient importance to warrant such an effort. The question whether employing improved estimators of the Fourier coefficients in a series type estimator of the regression function itself would improve this estimator in a certain way might be of some interest. Although this cannot be true for the rate, we suspect that improvement will hold true at the level of constants. Investigating this matter is beyond the scope of this paper. In Section 6, however, we will briefly comment on this.

In order to construct an AE estimator one needs to compute the efficient influence function. According to van der Vaart (1998) this is the projection of the gradient of the functional onto the tangent space to the model. See Section 3 for the details. Statement and proof that the improved estimator is AE can be found in Section 4. Indirect nonparametric regression occurs in a wide variety of practical situations, like Wicksell’s unfolding problem in stereology, geological prospecting, computer tomography in imaging, just to mention a few (O’Sullivan (1986), Kress (1989), Kirsch (1996)). Let us introduce another example (see also Section 6.1).

Example.  Can you see the weight of a cable? To answer this question, a paraphrase of the title of Kac’s famous 1966 paper, let us first observe that the shape of a cable suspended at its endpoints with coordinates (0,0) and (1,0) is given by the differential equation

(1.1)
$$\frac{d^2g(t)}{dt^2}=f(t),\mathrm{\hspace{0.17em}\hspace{0.17em}0}t1,g(0)=g(1)=0.$$

Apart from the sign the source term $`f`$ represents the load per horizontal distance and $`g`$ the shape. The problem is to estimate a linear functional $`_0^1f(t)\phi (t)𝑑t`$, for suitable $`\phi `$, like for instance the total weight $`_0^1f(t)𝑑t`$ of the cable ($`\phi 1`$); for this special case, however, see the remark in Section 6.1. Estimation may be performed by first recovering the weight distribution or source term from the data $`(X_1,Y_1),\mathrm{},(X_n,Y_n)`$ that are independent copies of $`(X,Y)`$, where

(1.2)
$$Y=g(X)+\epsilon .$$

We will assume that the design variable $`X`$ has the Uniform $`(0,1)`$ distribution and is independent of the error variable $`\epsilon `$. The latter has also zero mean, finite variance, and arbitrary density $`\psi `$ that is supposed to be known.

Using the Green’s function the differential equation can be rewritten in the form

(1.3)
$$g(x)=_0^1K(x,t)f(t)𝑑t=(Kf)(x),\mathrm{\hspace{0.17em}\hspace{0.17em}0}x1,$$

where $`K:L^2([0,1])L^2([0,1])`$ turns out to be compact and strictly positive Hermitian with Brownian bridge covariance kernel

(1.4)
$$K(x,t)=xtxt,\mathrm{\hspace{0.17em}\hspace{0.17em}0}x1,\mathrm{\hspace{0.17em}\hspace{0.17em}0}t1.$$

The operator has strictly positive eigenvalues

(1.5)
$$\rho _k=\left\{\frac{1}{\pi (k+1)}\right\}^2,k=0,1,\mathrm{},$$

with corresponding orthonormal basis of eigenfunctions

(1.6)
$$\phi _k(x)=\sqrt{2}\mathrm{sin}(k+1)\pi x,\mathrm{\hspace{0.17em}\hspace{0.17em}0}x1,k=0,1,\mathrm{}.$$

The general theory below is tailored to but slightly more general than the compact case. This generalization ensures that the noncompact identity operator, which yields the usual direct regression, is included as a special case.

## 2. The model, the problem, and assumptions

Let $`(𝐗,𝒳,\mu )`$ and $`(\text{Z},𝒵,\nu )`$ be measurable spaces with $`L^2(\mu )`$ and $`L^2(\nu )`$ real separable Hilbert spaces. We are given a bounded, injective linear operator $`K:L^2(\nu )L^2(\mu )`$. In the random design case, to be considered here, we observe a random sample $`(X_1,Y_1),\mathrm{},(X_n,Y_n)`$ of independent copies of a random element $`(X,Y),`$ where

(2.1)
$$Y=(Kf)(X)+\epsilon =g(X)+\epsilon ,fL^2(\nu ).$$

The indirectly observed regression or input function $`f`$ on $`(\text{Z},𝒵)`$ is unknown. We will assume that

(2.2)
$$\mu (𝐗)=1,\text{ and }X=_d\text{ Uniform }(𝐗).$$

The error variable $`\epsilon `$ is independent of the design $`X`$ with known but arbitrary density $`\psi `$ with respect to Lebesgue measure. We will assume that

(2.3)
$$𝐄\epsilon =0,𝐄\epsilon ^2=\sigma ^2.$$

Under these assumptions it is readily verified that $`(X,Y)`$ has density

(2.4)
$$p_f(x,y)=\psi (y(Kf)(x)),(x,y)𝐗\times ,fL^2(\nu ).$$

A star attached to an operator denotes its adjoint. The operator $`R=(K^{}K)^{\frac{1}{2}}:L^2(\nu )L^2(\nu )`$, then, is strictly positive Hermitian. We will assume that there exists an orthonormal basis for $`L^2(\nu )`$ consisting of eigenfunctions $`\phi _0,\phi _1,\mathrm{}`$ of the operator $`R`$ with corresponding eigenvalues $`\rho _0,\rho _1,\mathrm{}>0`$ satisfying

(2.5)
$$\text{sup}_{k0}\rho _k<\mathrm{}.$$

On the one hand compact operators $`R`$ are included, since for those a basis exists with eigenvalues satisfying $`\rho _k0,\text{ as }k\mathrm{}`$ (Debnath & Mikusiński (1999)). On the other hand the direct model with $`K=I`$ and hence $`R=I`$, where $`I`$ is the identity operator, is included as well. The operator $`I`$ is not compact but satisfies the condition above for any basis, with $`\rho _k=1`$ for all $`k`$. According to the polar decomposition (Riesz & Nagy (1990)) there exists a partial isometry $`V:L^2(\nu )L^2(\mu )`$ such that $`K=VR`$ and $`K^{}=RV^{}`$. It should be noted that $`V^{}V`$ is the identity on the range of $`R`$. Let us write

(2.6)
$$\phi _{V,k}=V\phi _k,$$

and observe that the $`\phi _{V,k}`$ are orthonormal in $`L^2(\mu )`$.

The problem to be considered here is estimation of a linear functional $`ff,\phi ,fL^2(\nu ),`$ for some given $`\phi L^2(\nu )`$ with $`\phi =1.`$ In view of $`f,\phi `$ $`=_{k0}f,\phi _k\phi ,\phi _k`$ it seems plausible that estimation of the special linear functionals defined by the Fourier coefficients

(2.7)
$$f_k=f,\phi _k$$

might suffice. This is in fact true under an extra condition, and some details can be found in Section 5. Hence we will focus on estimating an arbitrary Fourier coefficient. As a generic example let us consider the functional

(2.8)
$$ff_0=f,\phi _0,fL^2(\nu ),$$

where $`\phi _0`$ is the first basis element. It is useful to observe

(2.9)
$$f_k=f,\phi _k=f,K^{}VR^1\phi _k=Kf,VR^1\phi _k=\frac{1}{\rho _k}Kf,\phi _{V,k}.$$

The assumptions below will be briefly discussed in Section 6. The basis elements are supposed to satisfy the uniform boundedness conditions

(2.10)
$$\text{sup}_{z𝐙,k0}|\phi _k(z)|<\mathrm{}$$

and

(2.11)
$$\text{sup}_{x𝐗,k0}|\phi _{V,k}(x)|<\mathrm{}.$$

Regarding the input function $`f`$ it will be assumed that there exists a sequence $`(m(n))_{n1}`$ satisfying

(2.12)
$$m=m(n)\mathrm{}\text{ and }\frac{m}{\sqrt{n}}0,\text{ as }n\mathrm{},$$

for which

(2.13)
$$\sqrt{n}\underset{k>m}{}f_k^20,\text{ as }n\mathrm{},$$

(2.14)
$$\underset{k>m}{}|f_k|0,\text{ as }n\mathrm{}.$$

The error density $`\psi `$ is supposed to be twice differentiable, i.e.,

(2.15)
$$\psi ^{^{\prime \prime }}\text{ exists on }.$$

Denoting the score function for location by

(2.16)
$$\mathrm{\Lambda }=\frac{\psi ^{}}{\psi },$$

we will also need that

(2.17)
$$\mathrm{\Lambda }^{}\text{ and }\mathrm{\Lambda }^{^{\prime \prime }}\text{ exist and are bounded on },$$

with finite Fisher information

(2.18)
$$𝐄\mathrm{\Lambda }^2(\epsilon )=𝐄\mathrm{\Lambda }^{}(\epsilon )=_{\mathrm{}}^{\mathrm{}}\left(\frac{\psi ^{}}{\psi }\right)^2(y)\psi (y)𝑑y=I(\psi )<\mathrm{}.$$

For the first equality in (2.18) we need (2.15).

## 3. Construction of an asymptotically efficient estimator

The input function $`fL^2(\nu )`$ has the $`L^2`$ \- expansion

(3.1)
$$f(z)=\underset{k0}{}f_k\phi _k(z),z𝐙,$$

in the orthonormal basis of eigenfunctions, and the usual estimator of the regression function in this context is given by

(3.2)
$$\widehat{f}(z)=\widehat{f}_{(m)}(z)=\underset{km}{}\widehat{f_k}\phi _k(z),z𝐙,$$

for suitable $`m=m(n)\mathrm{}`$, as $`n\mathrm{}`$, where $`\widehat{f_k}`$ is the estimator of $`f_k`$ (see (2.1) and (2.9)) given by

(3.3)
$$\widehat{f_k}=\frac{1}{n}\underset{i=1}{\overset{n}{}}\frac{1}{\rho _k}Y_i\phi _{V,k}(X_i).$$

See, for instance, Johnstone & Silverman (1990). Since we are estimating $`f_0`$ in (2.8), a plug-in estimator simply equals

(3.4)
$$\widehat{f},\phi _0=\widehat{f_0},$$

as given by (3.3) for $`k=0`$.

The estimators $`\widehat{f_k}(k=0,1,\mathrm{})`$ have some desirable properties. Because of

(3.5) $`𝐄\widehat{f_k}`$ $`={\displaystyle \frac{1}{\rho _k}}𝐄Y\phi _{V,k}(X)={\displaystyle \frac{1}{\rho _k}}𝐄(Kf)(X)\phi _{V,k}(X)`$
$`={\displaystyle \frac{1}{\rho _k}}Kf,V\phi _k={\displaystyle \frac{1}{\rho _k}}f,RV^{}V\phi _k`$
$`={\displaystyle \frac{1}{\rho _k}}\rho _kf,\phi _k=f_k`$
they are unbiased, but $`\widehat{f}=\widehat{f}_{(m)}`$ is not; let us write

(3.6)
$$f_{(m)}(z)=𝐄\widehat{f}_{(m)}(z)=\underset{km}{}f_k\phi _k(z),z𝐙.$$

Furthermore we have

(3.7) $`𝐄(\widehat{f_k}f_k)^2=\text{ Var }\widehat{f_k}={\displaystyle \frac{1}{n}}\text{ Var }{\displaystyle \frac{1}{\rho _k}}Y\phi _{V,k}(X)`$
$`{\displaystyle \frac{1}{n}}\left({\displaystyle \frac{1}{\rho _k}}\right)^2𝐄Y^2\phi _{V,k}^2(X)C{\displaystyle \frac{1}{n}}\left({\displaystyle \frac{1}{\rho _k}}\right)^2,`$
where $`0<C<\mathrm{}`$ will throughout be used as a generic constant that will not depend on $`n`$ or $`k`$ and that here can be taken equal to

(3.8)
$$C=(\text{ sup }_{x𝐗,k0}|\phi _{V,k}^2(x)|)(Kf^2+\sigma ^2),$$

by assumption (2.11).

The central limit theorem yields at once the asymptotic normality of the empirical Fourier coefficients. In particular we have

(3.9)
$$\sqrt{n}(\widehat{f_0}f_0)_d\text{ Normal }(0,\sigma _0^2(f)),\text{ as }n\mathrm{},$$

where (cf. (2.1), (2.3), and (2.6))

(3.10) $`\sigma _0^2(f)`$ $`=\left({\displaystyle \frac{1}{\rho _0}}\right)^2\text{ Var}\left(Y\phi _{V,0}(X)\right)`$
$`\left({\displaystyle \frac{1}{\rho _0}}\right)^2𝐄\text{ Var}\left(Y\phi _{V,0}(X)|X\right)`$
$`=\left({\displaystyle \frac{\sigma }{\rho _0}}\right)^2𝐄\phi _{V,0}^2(X)=\left({\displaystyle \frac{\sigma }{\rho _0}}\right)^2`$
holds with a strict inequality, unless $`\text{ Var}\left(𝐄\left(Y\phi _{V,0}(X)|X\right)\right)`$ vanishes, i.e., unless $`(Kf)(X)\phi _{V,0}(X)`$ is degenerate.

It has already been observed in Klaassen *et al.* (2001) that $`\sigma _0^2(f)`$ is in general strictly larger than the optimal variance according to the Hájek - Le Cam convolution theorem (van der Vaart (1998)). In other words the estimator $`\widehat{f_0}`$ is not asymptotically efficient, but it is $`\sqrt{n}`$ \- consistent. Such estimators can be improved. In order to do so we first need to briefly review some results from Klaassen *et al.* (2001).

Since we assume $`\psi `$ to be known, in terms of square roots of the densities the model is $`𝒮=\{s_f,fL^2(\nu )\}`$, with $`s_f=\sqrt{p_f}`$ and $`p_f`$ as in (2.4). The tangent space at $`fL^2(\nu )`$ to this model is given by

(3.11)
$$\stackrel{}{𝒮}_f=[\stackrel{}{s}_{f,h},h_K]=\{\stackrel{}{s}_{f,h},h\overline{_K}\}L^2(\mu \times \lambda ),$$

where $`\lambda `$ is Lebesgue measure on $``$, $`_K`$ is the range of $`K`$, $`\overline{_K}`$ its closure, and

(3.12)
$$\stackrel{}{s}_{f,h}(x,y)=\frac{\psi ^{}(y(Kf)(x))}{2s_f(x,y)}h(x),x𝐗,y.$$

The gradient of the functional $`fT(s_f)=f,\phi _0`$ at $`f`$ is given by (cf. (2.9))

(3.13)
$$\stackrel{}{T}_f(x,y)=\frac{2}{\rho _0}(y(Kf)(x))\phi _{V,0}(x)s_f(x,y),x𝐗,y.$$

Let $`\stackrel{~}{T}_f`$ denote the projection in $`L^2(\mu \times \lambda )`$ of $`\stackrel{}{T}_f`$ onto $`\stackrel{}{𝒮}_f`$. Then the optimal variance mentioned in the preceding paragraph equals

(3.14)
$$\stackrel{~}{\sigma }_0^2(f)=\frac{1}{4}\stackrel{~}{T}_f^2.$$

For these results see Klaassen *et al.* (2001).

In order to construct an estimator with limiting normal distribution having the variance in (3.14) we first need to explicitly compute $`\stackrel{~}{T}_f`$. Because $`\stackrel{~}{T}_f`$ has to belong to $`\stackrel{}{𝒮}_f`$ it is of the form

(3.15)
$$\stackrel{~}{T}_f(x,y)=\frac{\psi ^{}(y(Kf)(x))}{2s_f(x,y)}\stackrel{~}{h}(x),x𝐗,y,$$

for some $`\stackrel{~}{h}\overline{_K}`$, and because of $`\stackrel{}{T}_f\stackrel{~}{T}_f\stackrel{}{𝒮}_f`$ we must have (see also (3.12))

(3.16) $`\stackrel{}{T}_f\stackrel{~}{T}_f,\stackrel{}{s}_{f,h}`$ $`={\displaystyle \{\frac{2}{\rho _0}(y(Kf)(x))\phi _{V,0}(x)s_f(x,y)+\frac{\psi ^{}(y(Kf)(x))}{2s_f(x,y)}\stackrel{~}{h}(x)\}}`$
$`\times \{{\displaystyle \frac{\psi ^{}(y(Kf)(x))}{2s_f(x,y)}}h(x)\}d\mu (x)dy=0,`$
for all $`h\overline{_K}`$. It follows from (2.3) and (2.15) that $`_{\mathrm{}}^{\mathrm{}}y\psi ^{}(y)𝑑y=1`$ holds; cf. Lemma I.2.4.b of Hájek and S̆idák (1967). Exploiting this fact and using the notation $`I(\psi )`$ defined in (2.18) straightforward integration shows that (3.16) entails

(3.17)
$$I(\psi )\stackrel{~}{h}\frac{4}{\rho _0}\phi _{V,0},h=0,\text{ for all }h\overline{_K}.$$

It is obvious that $`{\displaystyle \frac{1}{\rho _0}}\phi _{V,0}_K`$. Since $`\stackrel{~}{h}\overline{_K}`$ it follows from (3.17) that

(3.18)
$$\stackrel{~}{h}(x)=\frac{4}{I(\psi )\rho _0}\phi _{V,0}(x),x𝐗.$$

Combination with (3.14) yields

(3.19)
$$\stackrel{~}{\sigma }_0^2(f)=\frac{1}{4}\stackrel{~}{T}_f^2=\frac{1}{\rho _0^2I(\psi )},$$

for the value of the optimal variance. Note that

$$1=\left(_{\mathrm{}}^{\mathrm{}}y\psi ^{}(y)𝑑y\right)^2\sigma ^2I(\psi )$$

holds by the Cramér - Rao inequality with equality if and only if $`\psi ^{}(Y)/\psi (Y)`$ is linear in $`Y`$ a.s. under $`\psi `$, i.e. if and only if $`\psi `$ is a normal density.

Consequently, it is immediate from (3.10) that the string of inequalities

(3.20)
$$\sigma _0^2(f)\left(\frac{1}{\rho _0}\right)^2\sigma ^2\left(\frac{1}{\rho _0}\right)^2\frac{1}{I(\psi )}=\stackrel{~}{\sigma }_0^2(f)$$

holds. For nonnormal densities $`\psi `$ the second inequality is strict, and the estimator $`\widehat{f_0}`$ then turns out not to be asymptotically efficient. If $`\psi `$ is normal, we have $`I(\psi )=1/\sigma ^2`$, so that the second inequality in (3.20) is an equality. However, asymptotic efficiency of $`\widehat{f_0}`$ remains impossible, since the first inequality in (3.20) cannot be an equality for all $`f`$, as argued in (3.10). See Klaassen *et al.* (2001) for some details.

We are now in a position to construct the improved estimator. According to van der Vaart (1998) define the efficient influence function by

(3.21) $`\stackrel{~}{T}_f(x,y){\displaystyle \frac{1}{2s_f(x,y)}}`$ $`={\displaystyle \frac{1}{I(\psi )}}{\displaystyle \frac{\psi ^{}(y(Kf)(x))}{\psi (y(Kf)(x))}}{\displaystyle \frac{1}{\rho _0}}\phi _{V,0}(x)`$
$`={\displaystyle \frac{1}{I(\psi )}}\mathrm{\Lambda }(y(Kf)(x)){\displaystyle \frac{1}{\rho _0}}\phi _{V,0}(x),x𝐗,y,`$
using the notation $`\mathrm{\Lambda }`$ introduced in (2.16). Following a procedure in Bickel *et al.* (1993, Chapter 7) let us now introduce the estimator

(3.22)
$$\widehat{\widehat{f_0}}=\widehat{f_0}+\frac{1}{n}\underset{i=1}{\overset{n}{}}\frac{1}{\rho _0I(\psi )}\mathrm{\Lambda }(Y_i(K\widehat{f}_{(m)})(X_i))\phi _{V,0}(X_i),$$

where $`\widehat{f}_{(m)}=\widehat{f}`$ is defined in (3.2). We will see in the next section that this turns out to be an asymptotically efficient estimator of $`f_0`$.

## 4. The main theorem

Theorem.  *Suppose that all the assumptions listed in Section 2 are fulfilled. Then* $`\widehat{\widehat{f_0}}`$ *defined in* (3.22) *is an asymptotically efficient estimator of* $`f_0`$, *i.e.*

(4.1)
$$\sqrt{n}(\widehat{\widehat{f_0}}f_0)_d\text{ Normal }(0,\frac{1}{\rho _0^2I(\psi )}),\text{ as }n\mathrm{},$$

*where the variance in the normal distribution is optimal.*

Proof.  A Taylor expansion yields

(4.2)
$$\sqrt{n}(\widehat{\widehat{f_0}}f_0)=A_n+Q_n+R_n$$

with

(4.3)
$$A_n=\frac{1}{\sqrt{n}}\underset{i=1}{\overset{n}{}}\frac{1}{\rho _0I(\psi )}\mathrm{\Lambda }(\epsilon _i)\phi _{V,0}(X_i),$$

(4.4) $`Q_n`$ $`=\sqrt{n}[\widehat{f}f,\phi _0`$
$`{\displaystyle \frac{1}{n}}{\displaystyle \underset{i=1}{\overset{n}{}}}{\displaystyle \frac{1}{\rho _0I(\psi )}}\{(K\widehat{f})(X_i)(Kf)(X_i)\}\mathrm{\Lambda }^{}(\epsilon _i)\phi _{V,0}(X_i)],`$
(4.5)
$$R_n=\frac{1}{2\sqrt{n}}\underset{i=1}{\overset{n}{}}\frac{1}{\rho _0I(\psi )}\{(K\widehat{f})(X_i)(Kf)(X_i)\}^2\mathrm{\Lambda }^{\prime \prime }(\stackrel{~}{\epsilon _i})\phi _{V,0}(X_i).$$

In (4.5), $`\stackrel{~}{\epsilon _i}`$ is a random variable between $`Y_i(Kf)(X_i)=\epsilon _i`$ and $`Y_i(K\widehat{f})(X_i)`$.

It follows from (2.11) that

(4.6) $`\text{sup}_{x𝐗}|\phi _{V,0}(x)|<\mathrm{}.`$
Together with (2.17) we find ( $`C`$ generic ! )

(4.7) $`|R_n|`$ $`{\displaystyle \frac{C}{\sqrt{n}}}{\displaystyle \underset{i=1}{\overset{n}{}}}\{(K\widehat{f})(X_i)(Kf)(X_i)\}^2`$
$`={\displaystyle \frac{C}{\sqrt{n}}}{\displaystyle \underset{i=1}{\overset{n}{}}}\{{\displaystyle \underset{km}{}}(\widehat{f_k}f_k)\rho _k\phi _{V,k}(X_i){\displaystyle \underset{k>m}{}}f_k\rho _k\phi _{V,k}(X_i)\}^2`$
$`{\displaystyle \frac{C}{\sqrt{n}}}{\displaystyle \underset{km}{}}{\displaystyle \underset{lm}{}}(\widehat{f_k}f_k)(\widehat{f_l}f_l)\rho _k\rho _l\{{\displaystyle \underset{i=1}{\overset{n}{}}}\phi _{V,k}(X_i)\phi _{V,l}(X_i)\}`$
$`+{\displaystyle \frac{C}{\sqrt{n}}}{\displaystyle \underset{k>m}{}}{\displaystyle \underset{l>m}{}}f_kf_l\rho _k\rho _l\{{\displaystyle \underset{i=1}{\overset{n}{}}}\phi _{V,k}(X_i)\phi _{V,l}(X_i)\}`$
$`=R_{n1}+R_{n2}.`$
It clearly suffices to show that $`𝐄R_{nj}0`$, as $`n\mathrm{}`$, for $`j=1,2,`$ in order to obtain $`R_n_p0`$, as $`n\mathrm{}`$.

Regarding the first term we see that

(4.8) $`𝐄R_{n1}`$ $`={\displaystyle \frac{C}{n^{5/2}}}{\displaystyle \underset{km}{}}{\displaystyle \underset{lm}{}}[{\displaystyle \underset{\alpha =1}{\overset{n}{}}}{\displaystyle \underset{\beta =1}{\overset{n}{}}}{\displaystyle \underset{i=1}{\overset{n}{}}}𝐄\{Y_\alpha \phi _{V,k}(X_\alpha )f_k\rho _k\}`$
$`\times \{Y_\beta \phi _{V,l}(X_\beta )f_l\rho _l\}\{\phi _{V,k}(X_i)\phi _{V,l}(X_i)\}].`$
By decomposing $`_{\alpha ,\beta ,i}=_{\alpha \beta i}+_{\alpha \beta =i}+_{\beta \alpha =i}+_{\alpha =\beta i}+_{\alpha =\beta =i}`$, and by realizing that the random variables labeled with $`\alpha `$ and $`\beta `$ are centered at $`0`$ and that the $`\phi _{V,k}`$ are orthonormal, we arrive at ($`\delta _{kl}`$ is Kronecker’s delta)

(4.9) $`0`$ $`𝐄R_{n1}`$
$`={\displaystyle \frac{C}{n^2\sqrt{n}}}{\displaystyle \underset{km}{}}{\displaystyle \underset{lm}{}}\{n(n1)\delta _{kl}\text{Cov}(Y\phi _{V,k}(X),Y\phi _{V,l}(X))`$
$`+n𝐄(Y\phi _{V,k}(X)f_k\rho _k)(Y\phi _{V,l}(X)f_l\rho _l)\phi _{V,k}(X)\phi _{V,l}(X)\}`$
$`{\displaystyle \frac{C}{n^2\sqrt{n}}}[n(n1){\displaystyle \underset{km}{}}𝐄Y^2\phi _{V,k}^2(X)`$
$`+n{\displaystyle \underset{km}{}}{\displaystyle \underset{lm}{}}\{𝐄Y^2\phi _{V,k}^2(X)𝐄Y^2\phi _{V,l}^2(X)\}^{1/2}]`$
$`C\left({\displaystyle \frac{m}{\sqrt{n}}}+{\displaystyle \frac{m^2}{n\sqrt{n}}}\right)0,\text{ as }n\mathrm{}.`$
Here we have used (2.11) and (2.12). See also the calculation in (3.7).

Next let us observe that

(4.10) $`0𝐄R_{n2}`$ $`={\displaystyle \frac{C}{\sqrt{n}}}{\displaystyle \underset{k>m}{}}{\displaystyle \underset{l>m}{}}nf_kf_l\rho _k\rho _l\delta _{kl}`$
$`C\sqrt{n}{\displaystyle \underset{k>m}{}}f_k^2\rho _k^2`$
$`C\sqrt{n}{\displaystyle \underset{k>m}{}}f_k^20,\text{ as }n\mathrm{},`$
by assumption (2.13). This settles the asymptotic negligibility of $`R_n`$.

For brevity let us introduce

(4.11)
$$\overline{U}_k=\frac{1}{n}\underset{i=1}{\overset{n}{}}\{\phi _0,\phi _k\frac{1}{\rho _0I(\psi )}\rho _k\phi _{V,k}(X_i)\mathrm{\Lambda }^{}(\epsilon _i)\phi _{V,0}(X_i)\},$$

and note that $`\overline{U}_k`$ is an average of i.i.d. random variables with zero mean. Indeed we have (cf.(2.18))

(4.12) $`\phi _0,\phi _k{\displaystyle \frac{1}{\rho _0I(\psi )}}\rho _k𝐄\phi _{V,k}(X)\mathrm{\Lambda }^{}(\epsilon )\phi _{V,0}(X)`$
$`=\delta _{0k}{\displaystyle \frac{1}{\rho _0I(\psi )}}\rho _kI(\psi )\delta _{k0}=0,\text{ for all }k.`$
Because of

(4.13) $`Q_n`$ $`=\sqrt{n}{\displaystyle \underset{km}{}}(\widehat{f_k}f_k)\overline{U}_k\sqrt{n}{\displaystyle \underset{k>m}{}}f_k\overline{U}_k`$
$`=Q_{n1}+Q_{n2},`$
in order to show that $`Q_n_p0`$, as $`n\mathrm{}`$, it suffices to prove $`𝐄|Q_{n1}|0`$ and $`𝐄|Q_{n2}|0`$.

In order to deal with $`Q_{n1}`$ let us first note that

(4.14) $`𝐄(\widehat{f_k}f_k)^2\overline{U}_k^2=`$
$`={\displaystyle \frac{1}{n^4}}{\displaystyle \underset{i=1}{\overset{n}{}}}{\displaystyle \underset{j=1}{\overset{n}{}}}{\displaystyle \underset{\alpha =1}{\overset{n}{}}}{\displaystyle \underset{\beta =1}{\overset{n}{}}}𝐄\{Y_i\phi _{V,k}(X_i)\rho _kf_k\}\{Y_j\phi _{V,k}(X_j)\rho _kf_k\}`$
$`\times \{\phi _0,\phi _k/\rho _k{\displaystyle \frac{1}{\rho _0I(\psi )}}\phi _{V,k}(X_\alpha )\mathrm{\Lambda }^{}(\epsilon _\alpha )\phi _{V,0}(X_\alpha )\}`$
$`\times \{\phi _0,\phi _k/\rho _k{\displaystyle \frac{1}{\rho _0I(\psi )}}\phi _{V,k}(X_\beta )\mathrm{\Lambda }^{}(\epsilon _\beta )\phi _{V,0}(X_\beta )\}.`$
Since each factor has zero expectation the only terms that contribute are those with all 4 indices equal and those with 2 pairs of indices (but not all 4) equal. By (2.11), (2.17), and (3.7) the contribution of the first group is seen to be bounded by $`Cn`$ and the second group is seen to yield a contribution bounded by $`Cn^2`$. This entails

(4.15)
$$𝐄(\widehat{f_k}f_k)^2\overline{U}_k^2\frac{1}{n^4}(Cn+Cn^2)\frac{C}{n^2},$$

and hence, by applying Schwarz’s inequality,

(4.16) $`𝐄|Q_{n1}|`$ $`\sqrt{n}{\displaystyle \underset{km}{}}\{𝐄(\widehat{f_k}f_k)^2\overline{U}_k^2\}^{1/2}`$
$`\sqrt{n}m{\displaystyle \frac{C}{n}}=C{\displaystyle \frac{m}{\sqrt{n}}}0,\text{ as }n\mathrm{},`$
by assumption (2.12).

For $`Q_{n2}`$ observe that,

(4.17) $`𝐄\overline{U}_k^2`$ $`={\displaystyle \frac{1}{n^2}}{\displaystyle \underset{i=1}{\overset{n}{}}}{\displaystyle \underset{j=1}{\overset{n}{}}}𝐄\{\phi _0,\phi _k{\displaystyle \frac{1}{\rho _0I(\psi )}}\rho _k\phi _{V,k}(X_i)\mathrm{\Lambda }^{}(\epsilon _i)\phi _{V,0}(X_i)\}`$
$`\times \{\phi _0,\phi _k{\displaystyle \frac{1}{\rho _0I(\psi )}}\rho _k\phi _{V,k}(X_j)\mathrm{\Lambda }^{}(\epsilon _j)\phi _{V,0}(X_j)\}`$
$`{\displaystyle \frac{C}{n}}\left({\displaystyle \frac{\rho _k}{\rho _0}}\right)^2𝐄\phi _{V,k}^2(X)(\mathrm{\Lambda }^{})^2(\epsilon )\phi _{V,0}^2(X)`$
$`{\displaystyle \frac{C}{n}}\rho _k^2.`$
This yields, again by the Schwarz inequality

(4.18) $`𝐄|Q_{n2}|`$ $`\sqrt{n}{\displaystyle \underset{k>m}{}}|f_k|\{𝐄\overline{U}_k^2\}^{1/2}`$
$`C{\displaystyle \underset{k>m}{}}|f_k|\rho _k0,\text{ as }n\mathrm{},`$
by assumptions (2.5) and (2.14).

Finally let us consider $`A_n`$ in (4.3). Since the terms are i.i.d. with

(4.19)
$$𝐄\frac{1}{\rho _0I(\psi )}\mathrm{\Lambda }(\epsilon )\phi _{V,0}(X)=0,$$

(4.20) $`\text{Var}{\displaystyle \frac{1}{\rho _0I(\psi )}}\mathrm{\Lambda }(\epsilon )\phi _{V,0}(X)`$ $`=\left({\displaystyle \frac{1}{\rho _0I(\psi )}}\right)^2𝐄\mathrm{\Lambda }^2(\epsilon )𝐄\phi _{V,0}^2(X)`$
$`={\displaystyle \frac{1}{\rho _0^2I(\psi )}},`$
the central limit theorem entails at once that

(4.21)
$$A_n_d\text{ Normal }(0,\frac{1}{\rho _0^2I(\psi )}),\text{ as }n\mathrm{}.$$

Because we have seen that $`R_n_p0`$ and $`Q_n_p0`$, this is also the limiting distribution of the expression on the left in (4.2), as was to be shown.

## 5. Estimating an arbitrary linear functional

In this section we want to consider the problem of estimating the linear functional $`f_\phi =f,\phi `$, for an arbitrary $`\phi L^2(\nu )`$ with $`\phi =1`$. Since $`f_\phi =_{k0}f,\phi _k\phi ,\phi _k=_{k0}f_k\phi ,\phi _k`$, in view of the preceding results we expect

(5.1)
$$\widehat{\widehat{f}}_\phi =\underset{k0}{}\widehat{\widehat{f}}_k\phi ,\phi _k,$$

to be an asymptotically efficient estimator. Before proceeding we need to introduce the extra condition that

(5.2)
$$\underset{k0}{}\frac{1}{\rho _k}|\phi ,\phi _k|<\mathrm{}.$$

This condition ensures that $`\phi `$ is in the range of $`(K^1)^{}.`$ Let us write

(5.3) $`\gamma `$ $`=(K^1)^{}\phi =VR^1({\displaystyle \underset{k0}{}}\phi ,\phi _k\phi _k)`$
$`={\displaystyle \underset{k0}{}}{\displaystyle \frac{1}{\rho _k}}\phi ,\phi _k\phi _{V,k}.`$
Thanks to (2.10) and (5.2) the convergence in (5.3) is even pointwise.

To verify the asymptotic efficiency let us first observe that the optimal variance in the normal component of regular sequences of estimators equals

(5.4)
$$\stackrel{~}{\sigma }_\phi ^2(f)=\frac{\gamma ^2}{I(\psi )}.$$

This can be shown by virtually the same method as employed in Section 3 for $`\phi _0`$.

Writing the decomposition in (4.2) for general $`\phi _k`$ (rather than for $`\phi _0`$) as

(5.5)
$$\sqrt{n}(\widehat{\widehat{f}}_kf_k)=A_{n,k}+Q_{n,k}+R_{n,k},$$

we have

(5.6) $`\sqrt{n}(\widehat{\widehat{f}}_\phi f_\phi )`$ $`={\displaystyle \underset{k0}{}}\phi ,\phi _kA_{n,k}+{\displaystyle \underset{k0}{}}\phi ,\phi _k(Q_{n,k}+R_{n,k})`$
$`=S_{n,1}+S_{n,2}.`$
As follows from (5.3),

(5.7) $`S_{n,1}`$ $`={\displaystyle \frac{1}{\sqrt{n}}}{\displaystyle \underset{i=1}{\overset{n}{}}}{\displaystyle \frac{1}{I(\psi )}}\mathrm{\Lambda }(\epsilon _i){\displaystyle \underset{k0}{}}{\displaystyle \frac{1}{\rho _k}}\phi ,\phi _k\phi _{V,k}(X_i)`$
$`={\displaystyle \frac{1}{\sqrt{n}}}{\displaystyle \underset{i=1}{\overset{n}{}}}{\displaystyle \frac{1}{I(\psi )}}\mathrm{\Lambda }(\epsilon _i)\gamma (X_i),`$
which means that $`S_{n,1}`$ is well defined. Exploiting the calculations in the proof of the Theorem in Section 4 it follows that $`S_{n,2}`$ is also well defined and that

(5.8)
$$\underset{k0}{}\phi ,\phi _k(Q_{n,k}+R_{n,k})=o_p(1).$$

Combination yields the following results.

Theorem.  *Suppose that condition (5.2) is fulfilled in addition to the assumptions in Section 2. Then* $`\widehat{\widehat{f}}_\phi `$ *is an asymptotically efficient estimator of* $`f_\phi `$, *i.e.*

(5.9)
$$\sqrt{n}(\widehat{\widehat{f}}_\phi f_\phi )_d\text{ Normal }(0,\frac{\gamma ^2}{I(\psi )}),\text{ as }n\mathrm{},$$

## 6. Some comments on the conditions and <br>improved regression estimation

6.1. The conditions. In the example of Section 1 the operator $`K`$ itself is Hermitian and hence $`V=I`$ so that

(6.1)
$$\phi _k(x)=\phi _{V,k}(x)=\sqrt{2}\mathrm{sin}(k+1)\pi x,\mathrm{\hspace{0.17em}0}x1,k=0,1,\mathrm{}$$

It is immediate that conditions (2.5), (2.10), and (2.11) are fulfilled. It should be noted, however, that the function $`\phi 1`$ on $`[0,1]`$ doesn’t satisfy (5.2). If the total weight is to be estimated, one should therefore employ a sufficiently smooth (near 0 and 1) approximation of this function.

Next suppose that the input function $`f`$ satisfies $`|f,\phi _k|=|f_k|k^s`$ for some $`s>\frac{1}{2},`$ and that $`m(n)n^r`$ for some $`0<r<\frac{1}{2}`$. Then we have

(6.2)
$$\sqrt{n}\underset{k>m}{}f_k^2=O(n^{1/2+r(12s)}),$$

(6.3)
$$\underset{k>m}{}|f_k|=O(n^{r(1s)}),s>1,$$

and apparently conditions (2.13) and (2.14) are satisfied if

(6.4)
$$0<r<\frac{1}{2},s>\frac{1+2r}{4r}.$$

The conditions on the error density also appear to be usually fulfilled. A nonnormal density that satisfies conditions (2.15) - (2.18) is, for instance, the logistic density

(6.5)
$$\psi (x)=\frac{e^x}{(1+e^x)^2},x.$$

In particular $`\mathrm{\Lambda }^{}\text{ and }\mathrm{\Lambda }^{^{\prime \prime }}`$ turn out to be bounded indeed.

6.2. Improving regression estimation. It should be noted that for the present results it is irrelevant whether the input estimator $`\widehat{f}_{(m)}`$ attains the optimal MISE rate. It is not hard to see, however, that conditions on $`m`$ and $`f`$ ensuring this rate to be optimal are in general compatible with those in (2.12) - (2.14). In this discussion, however, we will allow the truncation index $`M=M(n)`$ of the traditional input estimator $`\widehat{f}_{(M)}`$, that attains the optimal MISE rate, to tend to infinity at a different rate than the $`m=m(n)`$ used above.

The results in this paper regard the variances of the limiting normal distributions of the estimators, and not the variances or MSE’s of these estimators themselves. It is clear, however, that

(6.6)
$$\text{MSE}(\widehat{f}_0)=\text{Var}\widehat{f}_0=\frac{1}{n}\sigma _0^2(f),$$

and we conjecture that

(6.7)
$$\text{MSE}(\widehat{\widehat{f_0}})=𝐄(\widehat{\widehat{f_0}}f_0)^2=\frac{1}{n}\frac{1}{I(\psi )}+o(\frac{1}{n}).$$

This would imply that $`\widehat{\widehat{f_0}}`$ improves $`\widehat{f}_0`$ also with respect to the MSE (at the level of constants). We similarly expect each of the $`\widehat{\widehat{f}}_k`$ to improve $`\widehat{f}_k`$ regarding MSE, and eventually

(6.8)
$$\widehat{\widehat{f}}_{(M)}(y)=\underset{kM}{}\widehat{\widehat{f}}_k\phi _k(y),y𝐘,$$

to improve $`\widehat{f}_{(M)}`$ with respect to MISE (at the level of constants). The actual calculations leading to (6.7) will differ from those in Section 4 and might be lengthy. Moreover, if theoretically $`\widehat{\widehat{f}}_{(M)}`$ would improve $`\widehat{f}_{(M)}`$, it would be interesting to perform simulations for several nonnormal error distributions, to get an insight into the difference of the performance for finite sample sizes. All this is beyond the scope of this paper.