Author

• Denis Bosq

Abstract

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