Multivariate density estimation under sup-norm loss: oracle approach, adaptation and independence structure
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Publication:355129
DOI10.1214/13-AOS1109zbMATH Open1360.62158arXiv1210.7078MaRDI QIDQ355129FDOQ355129
Authors: O. V. Lepski 
Publication date: 24 July 2013
Published in: The Annals of Statistics (Search for Journal in Brave)
Abstract: The paper deals with the density estimation on Rd under sup- norm loss. We provide with fully data-driven estimation procedure and establish for it so called sup-norm oracle inequality. The pro- posed estimator allows to take into account not only approximation properties of the underlying density but eventual independence struc- ture as well. Our results contain, as a particular case, the complete solution of the bandwidth selection problem in multivariate density model. Usefulness of the developed approach is illustrated by appli- cation to adaptive estimation over anisotropic Nikolskii classes.
Full work available at URL: https://arxiv.org/abs/1210.7078
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Cited In (25)
- Point-wise wavelet estimation in the convolution structure density model
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