Local superefficiency of data-driven projection density estimators in continuous time
Bosq, Denis (Université Pierre et Marie Curie (Paris))
Blanke, Delphine (Université Pierre et Marie Curie (Paris))

Date:	2004
Abstract:	We construct a data-driven projection density estimator for continuous time processes. This estimator reaches superoptimal rates over a class F0 of densities that is dense in the family of all possible densities, and a «reasonable» rate elsewhere. The class F0 may be chosen previously by the analyst. Results apply to Rd- Rd-valued processes and to N-valued processes. In the particular case where squareintegrable local time does exist, it is shown that our estimator is strictly better than the local time estimator over F0.
Rights:	Aquest document està subjecte a una llicència d'ús Creative Commons. Es permet la reproducció total o parcial i la comunicació pública de l'obra, sempre que no sigui amb finalitats comercials, i sempre que es reconegui l'autoria de l'obra original. No es permet la creació d'obres derivades.
Language:	Anglès
Document:	Article ; recerca ; Versió publicada
Subject:	Density estimation ; Data-driven ; Superefficiency ; Continuous time processes
Published in:	SORT : statistics and operations research transactions, Vol. 28, Núm. 1 (January-June 2004) , p. 37-54, ISSN 2013-8830

Adreça alternativa: https://raco.cat/index.php/SORT/article/view/28860

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