On adaptive wavelet estimation of a class of weighted densities

DOI10.1080/03610918.2013.851216MaRDI QIDQ5265827zbMATH OpenOpenAlexFDO

Authors Fabien Navarro, Christophe Chesneau, Jalal Fadili

Publication date 29 July 2015

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

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

zbMATH Keywords

waveletsdensity estimationreliabilityparallel systemseries systemweighted densityblock thresholdingplug-in approach

Mathematics Subject Classification ID

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

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.

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Cited in

(9)

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

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