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13.349 Articles in journals published by the UPC
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Local superefficiency of data-driven projection density estimators in continuous time

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Bosq, Denis
Blanke, Delphine
Document typeArticle
Defense date2004
PublisherInstitut d'Estadística de Catalunya
Rights accessOpen Access
Attribution-NonCommercial-NoDerivs 2.5 Spain
Except where otherwise noted, content on this work is licensed under a Creative Commons license : Attribution-NonCommercial-NoDerivs 2.5 Spain
Abstract
We construct a data-driven projection density estimator for continuous time processes. This estimator reaches superoptimal rates over a class F0 of densities that is dense in the family of all possible densities, and a «reasonable» rate elsewhere. The class F0 may be chosen previously by the analyst. Results apply to Rd-valued processes and to N-valued processes. In the particular case where squareintegrable local time does exist, it is shown that our estimator is strictly better than the local time estimator over F0.
CitationBosq, Denis; Blanke, Delphine. "Local superefficiency of data-driven projection density estimators in continuous time". SORT, 2004, Vol. 28, núm. 1 
URIhttp://hdl.handle.net/2099/3745
ISSN1696-2281
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  • SORT (Statistics and Operations Research Transactions) - 2004, Vol. 28, Núm. 1 [7]
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