Adaptive density estimation under weak dependence
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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.
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Cited in
(13)- A modified adaptive accept–reject algorithm for univariate densities with bounded support
- Adaptive wavelet estimation of a function from an m-dependent process with possibly unbounded m
- Adaptive estimation of an additive regression function from weakly dependent data
- A class of adaptive distribution-free procedures
- Optimal model selection in density estimation
- Optimal adaptive estimation of the relative density
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- Adaptive estimation for stochastic damping Hamiltonian systems under partial observation
- On the adaptive wavelet deconvolution of a density for strong mixing sequences
- Inhomogeneous and anisotropic conditional density estimation from dependent data
- Optimal model selection for density estimation of stationary data under various mixing condi\-tions
- Pointwise adaptive estimation of the marginal density of a weakly dependent process
- Estimation adaptative de la densité spectrale d'un processus gaussien faiblement ou fortement dépendant
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