Optimal model selection for density estimation of stationary data under various mixing condi\-tions
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Abstract: We propose a block-resampling penalization method for marginal density estimation with nonnecessary independent observations. When the data are or -mixing, the selected estimator satisfies oracle inequalities with leading constant asymptotically equal to 1. We also prove in this setting the slope heuristic, which is a data-driven method to optimize the leading constant in the penalty.
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- Adaptive directional estimator of the density in \(\mathbb{R}^d\) for independent and mixing sequences
- Consistent model selection criteria and goodness-of-fit test for common time series models
- Adaptive estimation for stochastic damping Hamiltonian systems under partial observation
- Gaussian linear model selection in a dependent context
- Sharp oracle inequalities and slope heuristic for specification probabilities estimation in discrete random fields
- Optimal model selection for density estimation of stationary data under various mixing condi\-tions
- Optimal model selection in heteroscedastic regression using piecewise polynomial functions
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