Confidence bands in density estimation
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Publication:2380099
Abstract: Given a sample from some unknown continuous density , we construct adaptive confidence bands that are honest for all densities in a "generic" subset of the union of -H"older balls, , where is a fixed but arbitrary integer. The exceptional ("nongeneric") set of densities for which our results do not hold is shown to be nowhere dense in the relevant H"older-norm topologies. In the course of the proofs we also obtain limit theorems for maxima of linear wavelet and kernel density estimators, which are of independent interest.
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