1 research outputs found
On adaptive wavelet estimation of a class of weighted densities
We investigate the estimation of a weighted density taking the form
, where denotes an unknown density, the associated
distribution function and is a known (non-negative) weight. Such a class
encompasses many examples, including those arising in order statistics or when
is related to the maximum or the minimum of (random or fixed)
independent and identically distributed (\iid) random variables. We here
construct a new adaptive non-parametric estimator for based on a plug-in
approach and the wavelets methodology. For a wide class of models, we prove
that it attains fast rates of convergence under the risk with
(not only for corresponding to the mean integrated squared
error) over Besov balls. The theoretical findings are illustrated through
several simulations