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Title:Spatially adaptive density estimation by localised Haar projections PDF Logo
Authors:Gach, Florian
Nickl, Richard
Spokoiny, Vladimir
Issue Date:2011
Series/Report no.:SFB 649 discussion paper 2011-078
Abstract:Given a random sample from some unknown density f0 : R → [0;∞) we devise Haar wavelet estimators for fo with variable resolution levels constructed from localised test procedures (as in Lepski, Mammen, and Spokoiny (1997, Ann. Statist.)). We show that these estimators adapt to spatially heterogeneous smoothness of f0, simultaneously for every point x in a fixed interval, in sup-norm loss. The thresholding constants involved in the test procedures can be chosen in practice under the idealised assumption that the true density is locally constant in a neighborhood of the point x of estimation, and an information theoretic justification of this practice is given.
Subjects:spatially inhomogeneous smoothness
bandwidth choice
propagation approach
JEL:C14
Document Type:Working Paper
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

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