On the integrated mean squared error of wavelet density estimation for linear processes

DOI10.1007/S11203-022-09281-9MaRDI QIDQ6166014zbMATH OpenFDO

Authors Aleksandr Beknazaryan, Hailin Sang, Peter Adamic

Publication date 6 July 2023

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2211.09594

zbMATH Keywords

density estimationprojection operatorlinear processwavelet method

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: Let $X_n:ninN$ be a linear process with density function $f(x)in{L}^2(R)$. We study wavelet density estimation of $f(x)$. Under some regular conditions on the characteristic function of innovations, we achieve, based on the number of nonzero coefficients in the linear process, the minimax optimal convergence rate of the integrated mean squared error of density estimation. Considered wavelets have compact support and are twice continuously differentiable. The number of vanishing moments of mother wavelet is proportional to the number of nonzero coefficients in the linear process and to the rate of decay of characteristic function of innovations. Theoretical results are illustrated by simulation studies with innovations following Gaussian, Cauchy and chi-squared distributions.

Cites work

• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 1324223 (Why is no real title available?)
• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• scientific article; zbMATH DE number 739533 (Why is no real title available?)
• scientific article; zbMATH DE number 3016223 (Why is no real title available?)
• scientific article; zbMATH DE number 1889799 (Why is no real title available?)
• scientific article; zbMATH DE number 3319139 (Why is no real title available?)
• A general result on the mean integrated squared error of the hard thresholding wavelet estimator under \(\alpha\)-mixing dependence
• Adapting to Unknown Smoothness via Wavelet Shrinkage
• Adaptive density estimation under weak dependence
• Adaptive wavelet estimation of a function from an m-dependent process with possibly unbounded m
• Analysis 4: Discriminant analysis of seal data
• Asymptotic normality of regression estimators with long memory errors
• Blockshrink wavelet density estimator in \(\phi\)-mixing framework
• Convergence rates in density estimation for data from infinite-order moving average processes
• Density estimation by wavelet thresholding
• Estimators of long-memory: Fourier versus wavelets
• Ideal spatial adaptation by wavelet shrinkage
• Kernel density estimation for linear processes
• Kernel entropy estimation for linear processes
• Memory properties of transformations of linear processes
• Nonlinear wavelet-based estimation to spectral density for stationary non-Gaussian linear processes
• On the asymptotic mean integrated squared error of a kernel density estimator for dependent data
• On the asymptotlc normality for l₂-error of wavelei density estimator with application
• On the estimation of the marginal density of a moving average process
• On the integrated squared error of the linear wavelet density estimator
• On wavelet projection kernels and the integrated squared error in density estimation
• Optimal convergence properties of variable knot, kernel, and orthogonal series methods for density estimation
• Symmetrization in analysis. With a foreword by Walter Hayman
• Ten Lectures on Wavelets
• Wavelet density estimation for mixing and size-biased data
• Wavelet linear density estimation for associated stratified size-biased sample
• Wavelet linear density estimator for a discrete-time stochastic process: \(L_ p\)-losses
• Wavelet linear estimation of a density and its derivatives from observations of mixtures under quadrant dependence
• Wavelets and the theory of non-parametric function estimation

This page was built for publication: On the integrated mean squared error of wavelet density estimation for linear processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6166014)