Confidence bands in density estimation
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Publication:2380099
DOI10.1214/09-AOS738zbMATH Open1183.62062arXiv1002.4801OpenAlexW3100883892MaRDI QIDQ2380099FDOQ2380099
Authors: Richard Nickl, Evarist Giné 
Publication date: 24 March 2010
Published in: The Annals of Statistics (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1002.4801
Recommendations
density estimationGaussian processesadaptive estimationextremeskernel estimatorslimit theoremwavelet estimators
Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Nonparametric tolerance and confidence regions (62G15) Central limit and other weak theorems (60F05)
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