Adaptive density deconvolution with dependent inputs
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Abstract: In the convolution model , we give a model selection procedure to estimate the density of the unobserved variables , when the sequence is strictly stationary but not necessarily independent. This procedure depends on wether the density of is super smooth or ordinary smooth. The rates of convergence of the penalized contrast estimators are the same as in the independent framework, and are minimax over most classes of regularity on . Our results apply to mixing sequences, but also to many other dependent sequences. When the errors are super smooth, the condition on the dependence coefficients is the minimal condition of that type ensuring that the sequence is not a long-memory process.
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Cited in
(20)- A general result on the mean integrated squared error of the hard thresholding wavelet estimator under \(\alpha\)-mixing dependence
- Adaptive estimation of the transition density of a particular hidden Markov chain
- Nonparametric estimation of random-effects densities in linear mixed-effects model
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