Data-based optimal smoothing of a wavelet density estimator (Q1381769)

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Data-based optimal smoothing of a wavelet density estimator
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    Data-based optimal smoothing of a wavelet density estimator (English)
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    1 July 1998
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    The paper considers the problem of estimating a probability based on a complete random sample, using a wavelet-based orthogonal expansion. Section 2 introduces the concepts of wavelets and a basic wavelet density estimator. Section 3 defines the modifications on the empirical wavelet coefficients to construct the new proposed wavelet density estimator, and develops a method for estimating the optimal smoothing parameters based on a finite random sample. Section 4 contains a numerical experiment supporting the promising performance of the modified estimator, while its asymptotic analysis shows for it optimal rates of convergence.
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    over-fitting
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    under-fitting
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    parameter estimation
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    wavelet-based orthogonal expansion
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    optimal smoothing
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    numerical experiment
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