Pointwise adaptive estimation of the marginal density of a weakly dependent process
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Abstract: This paper is devoted to the estimation of the common marginal density function of weakly dependent processes. The accuracy of estimation is measured using pointwise risks. We propose a datadriven procedure using kernel rules. The bandwidth is selected using the approach of Goldenshluger and Lepski and we prove that the resulting estimator satisfies an oracle type inequality. The procedure is also proved to be adaptive (in a minimax framework) over a scale of H"older balls for several types of dependence: stong mixing processes, -dependent processes or i.i.d. sequences can be considered using a single procedure of estimation. Some simulations illustrate the performance of the proposed method.
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Cited in
(10)- Pointwise adaptive estimation of a multivariate density under independence hypothesis
- Adaptive pointwise estimation of conditional density function
- Adaptive directional estimator of the density in \(\mathbb{R}^d\) for independent and mixing sequences
- Adaptive density estimation of stationary \(\beta\)-mixing and \(\tau\)-mixing processes
- Adaptive estimation for stochastic damping Hamiltonian systems under partial observation
- The adaptive rate of convergence in a problem of pointwise density estimation
- Estimation adaptative de la densité spectrale d'un processus gaussien faiblement ou fortement dépendant
- Adaptive estimation of the stationary density of a stochastic differential equation driven by a fractional Brownian motion
- Adaptive nonparametric estimation in the presence of dependence
- Adaptive density estimation under weak dependence
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