On the integrated squared error of the linear wavelet density estimator

DOI10.1016/J.JSPI.2013.03.023MaRDI QIDQ394569zbMATHOpenAlexFDO

Authors Lu Lu

Publication date 27 January 2014

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1210.7850

zbMATH Keywords

law of iterated logarithmintegrated squared errorlinear wavelet density estimationrate of convergence in CLT

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Central limit and other weak theorems (60F05)

Abstract: Linear wavelet density estimators are wavelet projections of the empirical measure based on independent, identically distributed observations. We study here the law of the iterated logarithm (LIL) and a Berry-Esseen type theorem. These results are proved under different assumptions on the density $f$ that are different from those needed for similar results in the case of convolution kernels (KDE): whereas the smoothness requirements are much less stringent than for the KDE, Riemann integrability assumptions are needed in order to compute the asymptotic variance, which gives the scaling constant in LIL. To study the Berry-Esseen type theorem, a rate of convergence result in the martingale CLT is used.

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Cited in

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• The radial wavelet frame density estimator
• On wavelet projection kernels and the integrated squared error in density estimation
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