A Smirnov-Bickel-Rosenblatt theorem for compactly-supported wavelets

DOI10.1007/S00365-013-9181-7MaRDI QIDQ1943998zbMATH OpenOpenAlexFDO

Authors Adam D. Bull

Publication date 3 April 2013

Published in Constructive Approximation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1110.4961

zbMATH Keywords

asymptotic distributioncompactly-supported waveletsconfidence setsnonparametric statisticssupremum norm

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Nonparametric tolerance and confidence regions (62G15) Asymptotic properties of nonparametric inference (62G20) Numerical methods for wavelets (65T60)

Abstract: In nonparametric statistical problems, we wish to find an estimator of an unknown function f. We can split its error into bias and variance terms; Smirnov, Bickel and Rosenblatt have shown that, for a histogram or kernel estimate, the supremum norm of the variance term is asymptotically distributed as a Gumbel random variable. In the following, we prove a version of this result for estimators using compactly-supported wavelets, a popular tool in nonparametric statistics. Our result relies on an assumption on the nature of the wavelet, which must be verified by provably-good numerical approximations. We verify our assumption for Daubechies wavelets and symlets, with N = 6, ..., 20 vanishing moments; larger values of N, and other wavelet bases, are easily checked, and we conjecture that our assumption holds also in those cases.

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Cited in

(5)

• A Smirnov-Bickel-Rosenblatt theorem for compactly-supported wavelets
• Honest adaptive confidence bands and self-similar functions
• A review of uncertainty quantification for density estimation
• Limit theorems for the wavelet statistics of independent random variables
• Adaptive Confidence Bands for Nonparametric Regression Functions

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