Non compact estimation of the conditional density from direct or noisy data - Archive ouverte HAL
Article Dans Une Revue Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques Année : 2023

Non compact estimation of the conditional density from direct or noisy data

Résumé

In this paper, we propose a nonparametric estimation strategy for the conditional density function of Y given X, from independent and identically distributed observations (Xi, Yi) 1≤i≤n. We consider a regression strategy related to projection subspaces of L 2 generated by non compactly supported bases. This rst study is then extended to the case where Y is not directly observed, but only Z = Y + ε, where ε is a noise with known density. In these two settings, we build and study collections of estimators, compute their rates of convergence on anisotropic space on non-compact supports, and prove related lower bounds. Then, we consider adaptive estimators for which we also prove risk bounds.
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Dates et versions

hal-03276251 , version 1 (01-07-2021)

Identifiants

Citer

Fabienne Comte, Claire Lacour. Non compact estimation of the conditional density from direct or noisy data. Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, 2023, 59 (3), pp.1463-1507. ⟨10.1214/22-AIHP129⟩. ⟨hal-03276251⟩
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