Adaptive density estimation under weak dependence
From MaRDI portal
Abstract: Assume that is a real valued time series admitting a common marginal density with respect to Lebesgue's measure. Donoho {it et al.} (1996) propose a near-minimax method based on thresholding wavelets to estimate on a compact set in an independent and identically distributed setting. The aim of the present work is to extend these results to general weak dependent contexts. Weak dependence assumptions are expressed as decreasing bounds of covariance terms and are detailed for different examples. The threshold levels in estimators depend on weak dependence properties of the sequence through the constant. If these properties are unknown, we propose cross-validation procedures to get new estimators. These procedures are illustrated via simulations of dynamical systems and non causal infinite moving averages. We also discuss the efficiency of our estimators with respect to the decrease of covariances bounds.
Recommendations
- Pointwise adaptive estimation of the marginal density of a weakly dependent process
- Convergence rates for density estimators of weakly dependent time series
- Functional estimation of a density under a new weak dependence condition
- Strong approximation of density estimators from weakly dependent observations by density estimators from independent observations
- Kernel density estimation under dependence
Cites work
- \(\mathbb{L}_p\) adaptive density estimation in a \(\beta\) mixing framework
- A fixed point approach to model random fields
- A LARCH(∞) Vector Valued Process
- A new weak dependence condition and applications to moment inequalities
- A probabilistic approach to intermittency
- A theory for multiresolution signal decomposition: the wavelet representation
- An empirical central limit theorem for dependent sequences
- An invariance principle for weakly dependent stationary general models
- Central limit theorem and stable laws for intermittent maps
- Convergence rates for density estimators of weakly dependent time series
- Density estimation by wavelet thresholding
- Estimation by wavelets in dynamical systems.
- EXPONENTIAL INEQUALITIES AND FUNCTIONAL ESTIMATIONS FOR WEAK DEPENDENT DATA: APPLICATIONS TO DYNAMICAL SYSTEMS
- scientific article; zbMATH DE number 412139 (Why is no real title available?)
- New dependence coefficients. Examples and applications to statistics
- Non-strong mixing autoregressive processes
- Nonparametric estimation of the chaotic function and the invariant measure of a dynamical system
- On minimax density estimation on \(\mathbb R\)
- Probability and moment inequalities for sums of weakly dependent random variables, with applications
- Recurrence times and rates of mixing
- Ten Lectures on Wavelets
- Wavelets, approximation, and statistical applications
- Weak dependence. With examples and applications.
- Weakly dependent chains with infinite memory
Cited in
(13)- A class of adaptive distribution-free procedures
- Inhomogeneous and anisotropic conditional density estimation from dependent data
- Pointwise adaptive estimation of the marginal density of a weakly dependent process
- Adaptive estimation for stochastic damping Hamiltonian systems under partial observation
- A modified adaptive accept–reject algorithm for univariate densities with bounded support
- Optimal model selection in density estimation
- Estimation adaptative de la densité spectrale d'un processus gaussien faiblement ou fortement dépendant
- On the adaptive wavelet deconvolution of a density for strong mixing sequences
- Adaptive estimation of an additive regression function from weakly dependent data
- Optimal adaptive estimation of the relative density
- Adaptive wavelet estimation of a function from an m-dependent process with possibly unbounded m
- On the integrated mean squared error of wavelet density estimation for linear processes
- Optimal model selection for density estimation of stationary data under various mixing condi\-tions
This page was built for publication: Adaptive density estimation under weak dependence
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3085573)
