Density estimation for -dependent sequences

DOI10.1214/17-EJS1249MaRDI QIDQ521335zbMATH OpenFDO

Authors Jérôme Dedecker, Florence Merlevède

Publication date 7 April 2017

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1605.05055, https://projecteuclid.org/euclid.ejs/1490860814

zbMATH Keywords

density estimationlong-range dependencestationary processesexpanding maps

Mathematics Subject Classification ID

Density estimation (62G07) Stationary stochastic processes (60G10)

Abstract: We study the Lp-integrated risk of some classical estimators of the density, when the observations are drawn from a strictly stationary sequence. The results apply to a large class of sequences, which can be non-mixing in the sense of Rosenblatt and long-range dependent. The main probabilistic tool is a new Rosenthal-type inequality for partial sums of BV functions of the variables. As an application, we give the rates of convergence of regular Histograms, when estimating the invariant density of a class of expanding maps of the unit interval with a neutral fixed point at zero. These Histograms are plotted in the section devoted to the simulations.

Recommendations

• Inequalities for absolutely regular sequences: application to density estimation
• Density estimation for one-dimensional dynamical systems
• On smoothed probability density estimation for stationary processes
• scientific article; zbMATH DE number 98146
• scientific article; zbMATH DE number 4203477

Cited in

(1)

• On an application of density estimation constructed by means of chain dependent samples

This page was built for publication: Density estimation for \(\tilde{\beta}\)-dependent sequences

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q521335)