Optimal Kernel Selection for Density Estimation

DOI10.1007/978-3-319-40519-3_19MaRDI QIDQ2954056zbMATH OpenOpenAlexFDO

Authors M. Lerasle, Nelo Molter Magalhães, P. Reynaud-Bouret

Publication date 11 January 2017

Published in High Dimensional Probability VII (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1511.02112

zbMATH Keywords

density estimationkernel estimatorsminimal penaltyoptimal penaltyoracle inequalities

Mathematics Subject Classification ID

Applications of functional analysis in probability theory and statistics (46N30) Nonparametric estimation (62G05) Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Linear regression; mixed models (62J05) Non-Markovian processes: estimation (62M09)

Abstract: We provide new general kernel selection rules thanks to penalized least-squares criteria. We derive optimal oracle inequalities using adequate concentration tools. We also investigate the problem of minimal penalty as described in [BM07].

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Cited in

(14)

• An asymptotically optimal window selection rule for kernel density estimates
• Estimator selection: a new method with applications to kernel density estimation
• Determining the number of effective parameters in kernel density estimation
• Kernel selection in nonparametric regression
• Adaptive optimal kernel density estimation for directional data
• Optimal kernel estimation of densities
• Should we estimate a product of density functions by a product of estimators?
• Concentration inequality for U-statistics of order two for uniformly ergodic Markov chains
• Estimator selection
• What do kernel density estimators optimize?
• Optimal model selection in density estimation
• An introduction to nonparametric adaptive estimation
• Optimal kernels
• Bandwidth selection in kernel density estimation: oracle inequalities and adaptive minimax optimality

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