Super optimal rates for nonparametric density estimation via projection estimators

DOI10.1016/J.SPA.2004.12.004MaRDI QIDQ2485852zbMATH OpenOpenAlexFDO

Authors F. Comte, Florence Merlevède

Publication date 5 August 2005

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2004.12.004

zbMATH Keywords

Markov processesSamplingLocal timeCastellana-Leadbetter's conditionContinuous time projection estimator

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: estimation (62M09)

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Cited in

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• Estimation suroptimale de la densité par projection
• Invariant density adaptive estimation for ergodic jump-diffusion processes over anisotropic classes
• Parametric inference for ergodic McKean-Vlasov stochastic differential equations
• Local superefficiency of data-driven projection density estimators in continuous time
• Optimal L^2-approximation of occupation and local times for symmetric stable processes
• Adaptive estimation for stochastic damping Hamiltonian systems under partial observation
• Optimal convergence rates for the invariant density estimation of jump-diffusion processes
• Locally superoptimal and adaptive projection density estimators
• Rates of strong uniform convergence of the \(k_T\)-occupation time density estimator
• Asymptotic behaviour of truncated projection density estimators.
• Rate of estimation for the stationary distribution of jump-processes over anisotropic Hölder classes
• Piecewise linear density estimation for sampled data
• Adaptive estimation of the stationary density of a stochastic differential equation driven by a fractional Brownian motion
• On the estimation of smooth densities by strict probability densities at optimal rates in sup-norm
• Rate of estimation for the stationary distribution of stochastic damping Hamiltonian systems with continuous observations
• Superoptimal estimator of the spectral density by adaptive projection: an application to the estimation of a moving average order

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