Non linear wavelet density estimation on the real line - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2022

Non linear wavelet density estimation on the real line

Mathieu Sart
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Résumé

We investigate the problem of 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. These assumptions are very mild and allow in particular to deal with singularities, spatially inhomogeneous smoothness, and fat tailed distributions. Moreover, our estimator is fully adaptive and is derived from a computationally efficient algorithm.
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Dates et versions

hal-03915562 , version 1 (29-12-2022)
hal-03915562 , version 2 (14-02-2023)
hal-03915562 , version 3 (02-03-2023)
hal-03915562 , version 4 (06-11-2023)

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  • HAL Id : hal-03915562 , version 1

Citer

Mathieu Sart. Non linear wavelet density estimation on the real line. 2022. ⟨hal-03915562v1⟩
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