Nonparametric density estimates with improved . performance on given sets of densities
作者:
Luc Devroye,
期刊:
Statistics
(Taylor Available online 1989)
卷期:
Volume 20,
issue 3
页码: 357-376
ISSN:0233-1888
年代: 1989
DOI:10.1080/02331888908802181
出版商: Akademie-Verlag
关键词: Density estimation;kernel estimate;minimax;theory;consistency;nonparametric estimation;normal density;asymptotic optimality;model selection
数据来源: Taylor
摘要:
We consider the problem of choosing between two density estimates, a non-parametric estimate with the the standard properties of nonparametric estimates (universal consistency, robustness, but not extremely good rate of convergence) and a special estimate designed to perform well on a given set T of densities. The special estimate can often be thought of as a parametric estimate. The selection we propose is based upon the L1distance oetween both estimates. Among otner things, we show how one should proceed to insure that the selected estimate matches the special estimate's rate on T, and that it matches the nonparametric estimate's rate off T
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