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2011-11-10Buch DOI: 10.18452/4366
Spatially Adaptive Density Estimation by Localised Haar Projections
dc.contributor.authorGach, Florian
dc.contributor.authorNickl, Richard
dc.contributor.authorSpkoiny, Vladimir
dc.date.accessioned2017-06-16T00:31:38Z
dc.date.available2017-06-16T00:31:38Z
dc.date.created2011-12-08
dc.date.issued2011-11-10
dc.date.submitted2011-11-10
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5018
dc.description.abstractGiven a random sample from some unknown density f0 : R → [0;∞) we devise Haar wavelet estimators for f0 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.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectspatially inhomogeneous smoothnesseng
dc.subjectbandwidth choiceeng
dc.subjectpropagation approacheng
dc.subject.ddc330 Wirtschaft
dc.titleSpatially Adaptive Density Estimation by Localised Haar Projections
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100197003
dc.identifier.doihttp://dx.doi.org/10.18452/4366
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages27
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2011
local.edoc.container-issue78
local.edoc.container-year2011
local.edoc.container-erstkatid2195055-6

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