Pré-Publication, Document De Travail Année : 2014

Optimal adaptive estimation of the relative density

Résumé

This paper deals with the classical statistical problem of comparing the probability distribution of two real random variables $X$ and $X_0$, from a double independent sample. While most of the usual tools are based on the cumulative distribution function $F$ and $F_0$ of the variables, we focus on the relative density, a function recently used in two-sample problems, and defined as the density of the variable $F_0(X)$. We provide a nonparametric adaptive strategy to estimate the target function. An estimator is selected in a collection of projection estimate, with a criterion in the spirit of the Goldenshluger-Lepski methodology. We show the optimality of the procedure both in the oracle and the minimax sense: the convergence rate for the risk computed from an oracle inequality matches with the lower bound, that we also derived. Finally, some simulations illustrate the method.

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Dates et versions

hal-00955161 , version 1 (04-03-2014)
hal-00955161 , version 2 (14-11-2014)

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Identifiants

  • HAL Id : hal-00955161 , version 1

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Gaëlle Chagny, Claire Lacour. Optimal adaptive estimation of the relative density. 2014. ⟨hal-00955161v1⟩
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