Deconvolution density estimation with penalised MLE

Abstract: Deconvolution is the important problem of estimating the distribution of a quantity of interest from a sample with additive measurement error. Nearly all methods in the literature are based on Fourier transformation because it is mathematically a very neat solution. However, in practice these methods are unstable, and produce bad estimates when signal-noise ratio or sample size are low. In this paper, we develop a new deconvolution method based on maximum likelihood with a smoothness penalty. We show that our new method has much better performance than existing methods, particularly for small sample size or signal-noise ratio.