Year: 2009
Type: article
Abstract: We propose an algorithm to estimate the common density s of a stationary process X 1, ..., X n . We suppose that the process is either β or τ-mixing. We provide a model selection procedure based on a generalization of Mallows’ C p and we prove oracle inequalities for the selected estimator under a few prior assumptions on the collection of models and on the mixing coefficients. We prove that our estimator is adaptive over a class of Besov spaces, namely, we prove that it achieves the same rates of convergence as in the i.i.d. framework.
Author: M. Lerasle
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W1836680252