Density estimation from an individual numerical sequence

DOI10.1109/18.661503MaRDI QIDQ4400271zbMATH OpenOpenAlexFDO

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)

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

zbMATH Keywords

density estimationindividual sequencesbounded variationergodic processes

Mathematics Subject Classification ID

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

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).

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Cited in

(8)

• A note on density estimation for binary sequences
• Regression Estimation from an Individual Stable Sequence
• Self-consistent method for density estimation
• 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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