Optimal model selection for density estimation of stationary data under various mixing condi\-tions
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Publication:651014
DOI10.1214/11-AOS888zbMATH Open1227.62018arXiv0911.1497MaRDI QIDQ651014FDOQ651014
Publication date: 8 December 2011
Published in: The Annals of Statistics (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/0911.1497
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Density estimation (62G07) Inference from stochastic processes (62M99) Nonparametric statistical resampling methods (62G09) Inequalities; stochastic orderings (60E15)
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Cited In (11)
- Data-driven model selection for same-realization predictions in autoregressive processes
- Piecewise autoregression for general integer-valued time series
- Exponential inequalities for nonstationary Markov chains
- 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
- Slope heuristics and V-Fold model selection in heteroscedastic regression using strongly localized bases
- 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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