A simple adaptive estimator of the integrated square of a density

DOI10.3150/07-BEJ110MaRDI QIDQ1002574zbMATH OpenOpenAlexFDO

Authors Richard Nickl, Evarist Giné

Publication date 2 March 2009

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0803.0847

zbMATH Keywords

adaptive estimationkernel density estimatorquadratic functional

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20)

Abstract: Given an i.i.d. sample $X_1,\mathrm{...},X_n$ with common bounded density $f_0$ belonging to a Sobolev space of order $alpha$ over the real line, estimation of the quadratic functional $in{t}_{mathbbR}{f}_0^2(x)mathrmdx$ is considered. It is shown that the simplest kernel-based plug-in estimator [frac{2}{n(n-1)h_n}sum_{1leq i<jleq n}K�iggl(frac{X_i-X_j}{h_n}�iggr)] is asymptotically efficient if $alpha>1/4$ and rate-optimal if $alphale1/4$. A data-driven rule to choose the bandwidth $h_n$ is then proposed, which does not depend on prior knowledge of $alpha$, so that the corresponding estimator is rate-adaptive for $alphaleq1/4$ and asymptotically efficient if $alpha>1/4$.

Recommendations

• Adaptive kernel-type estimator for square-integrable distribution density
• scientific article; zbMATH DE number 3945080
• scientific article; zbMATH DE number 802872
• Adaptive Dantzig density estimation
• Adaptive root n estimates of integrated squared density derivatives
• Adaptive Estimation of the Integral of Squared Regression Derivatives
• Optimal adaptive estimation of the relative density
• On adaptive estimation of probability density functions

Cites work

• Adaptive estimation of a quadratic functional by model selection.
• Adaptive estimation of a quadratic functional of a density by model selection
• Efficient estimation of integral functionals of a density
• Estimation of integrated squared density derivatives
• Goodness-of-fit testing and quadratic functional estimation from indirect observations
• scientific article; zbMATH DE number 4107941 (Why is no real title available?)
• scientific article; zbMATH DE number 1254560 (Why is no real title available?)
• scientific article; zbMATH DE number 1324223 (Why is no real title available?)
• scientific article; zbMATH DE number 2034508 (Why is no real title available?)
• scientific article; zbMATH DE number 1552476 (Why is no real title available?)
• scientific article; zbMATH DE number 803197 (Why is no real title available?)
• scientific article; zbMATH DE number 4197203 (Why is no real title available?)
• On optimal adaptive estimation of a quadratic functional
• Optimal adaptive estimation of a quadratic functional
• Optimal pointwise adaptive methods in nonparametric estimation
• Sharp adaptive estimation of quadratic functionals
• Uniform central limit theorems for kernel density estimators

Cited in

(36)

• Statistical inference for spatial statistics defined in the Fourier domain
• On Bickel and Ritov's conjecture about adaptive estimation of the integral of the square of density derivative
• Adaptive root n estimates of integrated squared density derivatives
• Exact and asymptotically optimal bandwidths for kernel estimation of density functionals
• Optimal estimation of variance in nonparametric regression with random design
• Minimax estimation of norms of a probability density. I: Lower bounds
• Parseval inequalities and lower bounds for variance-based sensitivity indices
• On the geometry of Bayesian inference
• Estimation of entropy-type integral functionals
• Efficient estimation of sensitivity indices
• Nonparametric confidence intervals for the integral of a function of an unknown density
• Alternative asymptotics and the partially linear model with many regressors
• Adaptive estimation of a quadratic functional of a density by model selection
• A smooth adaptive estimator of the mean of a symmetric or asymmetric distribution
• Adaptive estimation of nonparametric functionals
• Visually Communicating and Teaching Intuition for Influence Functions
• AVERAGE DENSITY ESTIMATORS: EFFICIENCY AND BOOTSTRAP CONSISTENCY
• SEMIPARAMETRIC IDENTIFICATION AND FISHER INFORMATION
• Rate optimal estimation of quadratic functionals in inverse problems with partially unknown operator and application to testing problems
• Adaptive quadratic functional estimation of a weighted density by model selection
• Statistical estimation of quadratic Rényi entropy for a stationary m-dependent sequence
• How to implement signed-rank wilcox.test() type procedures when a center of symmetry is unknown
• Efficient functional estimation and the super-oracle phenomenon
• Simple adaptive estimation of quadratic functionals in nonparametric IV models
• Plugin estimation of smooth optimal transport maps
• Efficient estimation of pathwise differentiable target parameters with the undersmoothed highly adaptive lasso
• Estimation of density functionals via cross-validation
• Kernel estimation for quadratic functional of long memory linear processes with infinite variance
• Semiparametric posterior corrections
• Adaptive estimation of the \(\mathbb{L}_2\)-norm of a probability density and related topics. I: Lower bounds
• Sparsity meets correlation in Gaussian sequence model
• Optimal heteroskedasticity testing in nonparametric regression
• Sensitivity analysis from a single input/output sample
• The fundamental limits of structure-agnostic functional estimation
• Double cross-fit doubly robust estimators: beyond series regression
• Statistical inference for the \(\epsilon \)-entropy and the quadratic Rényi entropy

This page was built for publication: A simple adaptive estimator of the integrated square of a density

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1002574)