The Score-Matched Optimal Convex Estimator Does Not Attain the Full Semiparametric Efficiency Bound
We show that the score-matched optimal convex -estimator of Feng et al. attains the full semiparametric efficiency bound if and only if the error density is log-concave. For non-log-concave errors, we construct an explicit counterexample—Rademacher design with a bimodal Gaussian mixture error—in which a nonconvex kernel-density-based estimator achieves strictly smaller asymptotic variance.
The efficiency gap is exactly the squared -distance from the true score to the cone of non-increasing functions. Equality holds iff is log-concave.