On adaptive wavelet estimation of a class of weighted densities

DOI10.1080/03610918.2013.851216zbMATH Open1328.62237arXiv1207.1056OpenAlexW3104904748MaRDI QIDQ5265827FDOQ5265827

Christophe Chesneau, Jalal Fadili, Fabien Navarro

Publication date: 29 July 2015

Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Abstract: We investigate the estimation of a weighted density taking the form $g=w(F)f$, where $f$ denotes an unknown density, $F$ the associated distribution function and $w$ is a known (non-negative) weight. Such a class encompasses many examples, including those arising in order statistics or when $g$ is related to the maximum or the minimum of $N$ (random or fixed) independent and identically distributed (iid) random variables. We here construct a new adaptive non-parametric estimator for $g$ based on a plug-in approach and the wavelets methodology. For a wide class of models, we prove that it attains fast rates of convergence under the $mathbb{L}_p$ risk with $pge1$ (not only for $p=2$ corresponding to the mean integrated squared error) over Besov balls. The theoretical findings are illustrated through several simulations.

Full work available at URL: https://arxiv.org/abs/1207.1056

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zbMATH Keywords

waveletsdensity estimationreliabilityparallel systemseries systemweighted densityblock thresholdingplug-in approach

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20)

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Cited In (7)

• Nonparametric weighted estimators for biased data
• Adaptive wavelet estimator for nonparametric density deconvolution
• A weighted bivariate density estimation method
• Central limit theorem for a wavelet estimator of a probability density with a given weight
• A note on the adaptive estimation of the differential entropy by wavelet methods
• Adaptive hypothesis testing using wavelets
• A note on the adaptive estimation of a conditional continuous-discrete multivariate density by wavelet methods

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