Non linear wavelet density estimation on the real line
Résumé
We investigate the problem of optimal density estimation on the real line $\mathbb{R}$ under $\mathbb{L}^1$ loss. We carry out a new way to select the important coefficients in some wavelet expansions. We study the resulting estimator when the density is smooth with dominated tails. This assumption is very mild and allows in particular to deal with singularities, spatially inhomogeneous smoothness, and fat tailed distributions.
Domaines
Statistiques [math.ST]Origine | Fichiers produits par l'(les) auteur(s) |
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