Bandwidth selection in kernel density estimation: oracle inequalities and adaptive minimax optimality
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Abstract: We address the problem of density estimation with -loss by selection of kernel estimators. We develop a selection procedure and derive corresponding -risk oracle inequalities. It is shown that the proposed selection rule leads to the estimator being minimax adaptive over a scale of the anisotropic Nikol'skii classes. The main technical tools used in our derivations are uniform bounds on the -norms of empirical processes developed recently by Goldenshluger and Lepski [Ann. Probab. (2011), to appear].
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