A note on the adaptive estimation of a conditional continuous-discrete multivariate density by wavelet methods (Q523581)

Summary: We investigate the estimation of a multivariate continuous-discrete conditional density. We develop an adaptive estimator based on wavelet methods. We prove its good theoretical performance by determining sharp rates of convergence under the \(\mathbb L_p\) risk with \(p \geq 1\) for a wide class of unknown conditional densities. A simulation study illustrates the good practical performance of our estimator.