Finite sample penalization in adaptive density deconvolution

DOI10.1080/10629360600831711MaRDI QIDQ5454207zbMATH OpenOpenAlexFDO

Authors F. Comte, Yves Rozenholc, Marie-Luce Taupin

Publication date 28 March 2008

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0601098

zbMATH Keywords

model selectionpenalized contrastsimulation studyadaptive estimationprojection estimatordata driven

Mathematics Subject Classification ID

Density estimation (62G07)

Abstract: We consider the problem of estimating the density $g$ of identically distributed variables $X_i$, from a sample $Z_1,\mathrm{...},Z_n$ where $Z_i=X_i+sigmaepsilo{n}_i$, $i=1,\mathrm{...},n$ and $sigmaepsilo{n}_i$ is a noise independent of $X_i$ with known density $sigm{a}^{-1}{f}_{e}psilon(./sigma)$. We generalize adaptive estimators, constructed by a model selection procedure, described in Comte et al. (2005). We study numerically their properties in various contexts and we test their robustness. Comparisons are made with respect to deconvolution kernel estimators, misspecification of errors, dependency,... It appears that our estimation algorithm, based on a fast procedure, performs very well in all contexts.

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Cited in

(19)

• Penalized contrast estimator for adaptive density deconvolution
• Hermite density deconvolution
• Log density deconvolution by wavelet thresholding
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