Adaptive directional estimator of the density in R^d for independent and mixing sequences

arXiv2305.13572MaRDI QIDQ6437589FDOQ6437589

Authors: Sinda Ammous, Jérôme Dedecker, Céline Duval 

Publication date: 22 May 2023

Abstract: A new multivariate density estimator for stationary sequences is obtained by Fourier inversion of the thresholded empirical characteristic function. This estimator does not depend on the choice of parameters related to the smoothness of the density; it is directly adaptive. We establish oracle inequalities valid for independent, $alpha$-mixing and $au$-mixing sequences, which allows us to derive optimal convergence rates, up to a logarithmic loss. On general anisotropic Sobolev classes, the estimator adapts to the regularity of the unknown density but also achieves directional adaptivity. In particular, if A is an invertible matrix, if the observations are drawn from X $in$ R^d , d $ge$ 1, it achieves the rate implied by the regularity of AX, which may be more regular than X. The estimator is easy to implement and numerically efficient. It depends on the calibration of a parameter for which we propose an innovative numerical selection procedure, using the Euler characteristic of the thresholded areas.

This page was built for publication: Adaptive directional estimator of the density in R^d for independent and mixing sequences

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6437589)