Shape-preserving wavelet-based multivariate density estimation

DOI10.1016/J.JMVA.2018.07.002MaRDI QIDQ1795568zbMATH OpenOpenAlexWikidataFDO

Authors Carlos Aya-Moreno, Gery Geenens, Spiridon Penev

Publication date 16 October 2018

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1708.08321

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Estimation in multivariate analysis (62H12)

Abstract: Wavelet estimators for a probability density f enjoy many good properties, however they are not "shape-preserving" in the sense that the final estimate may not be non-negative or integrate to unity. A solution to negativity issues may be to estimate first the square-root of f and then square this estimate up. This paper proposes and investigates such an estimation scheme, generalising to higher dimensions some previous constructions which are valid only in one dimension. The estimation is mainly based on nearest-neighbour-balls. The theoretical properties of the proposed estimator are obtained, and it is shown to reach the optimal rate of convergence uniformly over large classes of densities under mild conditions. Simulations show that the new estimator performs as well in general as the classical wavelet estimator, while automatically producing estimates which are bona fide densities.

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Cited in

(5)

• Box dimension estimation of multi-dimensional random fields via wavelet shrinkage
• Decomposition and graphical correspondence analysis of checkerboard copulas
• The Hellinger Correlation
• Multivariate intensity estimation via hyperbolic wavelet selection
• Multivariate wavelet-based shape-preserving estimation for dependent observations

Describes a project that uses

Uses Software

• KernSmooth
• WaveThresh4

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