Abstract: (6990 Views)
We discuss the classical efficiency criteria in density estimation and propose some variants. The context is a general density estimation scheme that contains the cases of i.i.d. or dependent random variables, in discrete or continuous time. Unbiased estimation, optimality and asymptotic optimality are considered. An example of a density estimator that satisfies some suggested criteria is given.
Keywords: Continuous time,
covariance operator,
density estimation,
discrete time,
kernel estimator,
local time,
locally superoptimal,
maxiset,
minimax,
optimality,
preference,
superoptimal rate,
truncated projection estimator.
Subject:
60: Probability theory and stochastic processes Received: 2011/08/25 | Accepted: 2015/09/12