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Exact adaptive pointwise estimationon Sobolev classes of densities
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- Journal:
- ESAIM: Probability and Statistics / Volume 5 / 2001
- Published online by Cambridge University Press:
- 15 August 2002, pp. 1-31
- Print publication:
- 2001
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- Article
- Export citation
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The subject of this paper is to estimate adaptively the common probabilitydensity of n independent, identically distributed random variables. Theestimation is done at a fixed point $x_{0}\in \mathbb R$
, over the densityfunctions that belong to the Sobolev class Wn(β,L). We consider theadaptive problem setup, where the regularity parameter β is unknownand varies in a given set B n . A sharp adaptive estimator is obtained,and the explicit asymptotical constant, associated to its rate ofconvergence is found.
