Density estimation from an individual numerical sequence

DOI10.1109/18.661503zbMATH Open0905.62037arXiv0710.2500OpenAlexW2152819861MaRDI QIDQ4400271FDOQ4400271

Authors: Andrew B. Nobel, Gusztáv Morvai, Sanjeev R. Kulkarni 

Publication date: 27 October 1998

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Abstract: This paper considers estimation of a univariate density from an individual numerical sequence. It is assumed that (i) the limiting relative frequencies of the numerical sequence are governed by an unknown density, and (ii) there is a known upper bound for the variation of the density on an increasing sequence of intervals. A simple estimation scheme is proposed, and is shown to be $L_1$ consistent when (i) and (ii) apply. In addition it is shown that there is no consistent estimation scheme for the set of individual sequences satisfying only condition (i).

Full work available at URL: https://arxiv.org/abs/0710.2500

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zbMATH Keywords

density estimationindividual sequencesbounded variationergodic processes

Mathematics Subject Classification ID

Density estimation (62G07) Inference from stochastic processes (62M99)

Cited In (7)

• A note on density estimation for binary sequences
• Regression Estimation from an Individual Stable Sequence
• On density estimation from ergodic processes
• Limits to classification and regression estimation from ergodic processes
• Strongly consistent nonparametric forecasting and regression for stationary ergodic sequences.
• Nearest neighbor classification with dependent training sequences.
• Sequential density

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