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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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