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The Bahadur risk in probability density estimation
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Alexander Korostelev
Veröffentlicht/Copyright:
25. September 2009
Summary
A nonparametric probability density estimation problem is studied for the Bahadur-type risk under the sup-norm losses. The risk is minimax over the Hölder classes of densities. The large sample limiting performance of this risk is found, and the links to asymptotic equivalent white-noise models are discussed.
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Published Online: 2009-09-25
Published in Print: 2003-02-01
© 2003 Oldenbourg Wissenschaftsverlag GmbH
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Artikel in diesem Heft
- On arbitrage and replication in the fractional Black–Scholes pricing model
- On the construction of efficient estimators in semiparametric models
- The Bahadur risk in probability density estimation
- On preferences of general two-sided tests with applications to Kolmogorov–Smirnov-type tests
- Estimating the dimension of factors of diffusion processes
- Ranking of populations in parameter′s modulus
Artikel in diesem Heft
- On arbitrage and replication in the fractional Black–Scholes pricing model
- On the construction of efficient estimators in semiparametric models
- The Bahadur risk in probability density estimation
- On preferences of general two-sided tests with applications to Kolmogorov–Smirnov-type tests
- Estimating the dimension of factors of diffusion processes
- Ranking of populations in parameter′s modulus
