Density estimation for -dependent sequences

DOI10.1214/17-EJS1249zbMATH Open1362.62079arXiv1605.05055MaRDI QIDQ521335FDOQ521335

Authors: Jérôme Dedecker, Florence Merlevède 

Publication date: 7 April 2017

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

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.

Full work available at URL: https://arxiv.org/abs/1605.05055

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zbMATH Keywords

density estimationlong-range dependencestationary processesexpanding maps

Mathematics Subject Classification ID

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

Cited In (1)

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

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