Data-based optimal smoothing of a wavelet density estimator

DOI10.1016/S0895-7177(97)00129-5MaRDI QIDQ1381769zbMATH OpenOpenAlexFDO

Authors D. Massart

Publication date 1 July 1998

Published in Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0895-7177(97)00129-5

zbMATH Keywords

numerical experimentoptimal smoothingover-fittingparameter estimationunder-fittingwavelet-based orthogonal expansion

Mathematics Subject Classification ID

Point estimation (62F10) Probabilistic methods, stochastic differential equations (65C99)

Review text

The paper considers the problem of estimating a probability based on a complete random sample, using a wavelet-based orthogonal expansion. Section 2 introduces the concepts of wavelets and a basic wavelet density estimator. Section 3 defines the modifications on the empirical wavelet coefficients to construct the new proposed wavelet density estimator, and develops a method for estimating the optimal smoothing parameters based on a finite random sample. Section 4 contains a numerical experiment supporting the promising performance of the modified estimator, while its asymptotic analysis shows for it optimal rates of convergence.

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Cites work

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Cited in

(1)

• The Role of Pseudo Data for Robust Smoothing with Application to Wavelet Regression

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