کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5129561 1489736 2017 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Pointwise adaptive estimation of the marginal density of a weakly dependent process
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Pointwise adaptive estimation of the marginal density of a weakly dependent process
چکیده انگلیسی


- A data-driven procedure based on Goldenshluger-Lepski method is proposed.
- Considering pointwise risk allows us to select local bandwidths.
- Adaptive rates of convergence are obtained in several situations of dependence.
- Our procedure satisfies an oracle-type inequality.

This paper is devoted to the estimation of the common marginal density function of weakly dependent processes. The accuracy of estimation is measured using pointwise risks. We propose a data-driven procedure using kernel rules. The bandwidth is selected using the approach of Goldenshluger and Lepski and we prove that the resulting estimator satisfies an oracle type inequality. The procedure is also proved to be adaptive (in a minimax framework) over a scale of Hölder balls for several types of dependence: strong mixing processes, λ-dependent processes or i.i.d. sequences can be considered using a single procedure of estimation. Some simulations illustrate the performance of the proposed method.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Statistical Planning and Inference - Volume 187, August 2017, Pages 115-129
نویسندگان
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