Adaptive estimation of and oracle inequalities for probability densities and characteristic functions
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Abstract: The theory of adaptive estimation and oracle inequalities for the case of Gaussian-shift--finite-interval experiments has made significant progress in recent years. In particular, sharp-minimax adaptive estimators and exact exponential-type oracle inequalities have been suggested for a vast set of functions including analytic and Sobolev with any positive index as well as for Efromovich--Pinsker and Stein blockwise-shrinkage estimators. Is it possible to obtain similar results for a more interesting applied problem of density estimation and/or the dual problem of characteristic function estimation? The answer is ``yes. In particular, the obtained results include exact exponential-type oracle inequalities which allow to consider, for the first time in the literature, a simultaneous sharp-minimax estimation of Sobolev densities with any positive index (not necessarily larger than 1/2), infinitely differentiable densities (including analytic, entire and stable), as well as of not absolutely integrable characteristic functions. The same adaptive estimator is also rate minimax over a familiar class of distributions with bounded spectrum where the density and the characteristic function can be estimated with the parametric rate.
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- A Primer on Statistical Distributions
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Cited in
(19)- Adaptation to lowest density regions with application to support recovery
- Adaptive confidence sets in \(L^2\)
- Minimax bounds for Besov classes in density estimation
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- Sobolev-Hermite versus Sobolev nonparametric density estimation on \(\mathbb{R}\)
- \(\mathbb{L}_{p}\) adaptive estimation of an anisotropic density under independence hypothesis
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- Lower bound for estimation of Sobolev densities of order less \(1/2\)
- Adaptive density estimation using the blockwise Stein method
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