On adaptive minimax density estimation on R^d
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Publication:398772
DOI10.1007/S00440-013-0512-1zbMATH Open1342.62053arXiv1210.1715OpenAlexW1975384468MaRDI QIDQ398772FDOQ398772
Authors: Alexander Goldenshluger, O. V. Lepski 
Publication date: 15 August 2014
Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)
Abstract: We address the problem of adaptive minimax density estimation on with --loss on the anisotropic Nikol'skii classes. We fully characterize behavior of the minimax risk for different relationships between regularity parameters and norm indexes in definitions of the functional class and of the risk. In particular, we show that there are four different regimes with respect to the behavior of the minimax risk. We develop a single estimator which is (nearly) optimal in orderover the complete scale of the anisotropic Nikol'skii classes. Our estimation procedure is based on a data-driven selection of an estimator from a fixed family of kernel estimators.
Full work available at URL: https://arxiv.org/abs/1210.1715
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