Bandwidth selection for the Wolverton-Wagner estimator. (English) Zbl 1437.62131
Summary: For \(n\) independent random variables having the same Hölder continuous density, this paper deals with controls of the Wolverton-Wagner’s estimator MSE and MISE. Then, for a bandwidth \(h_n ( \beta )\), estimators of \(\beta\) are obtained by a Goldenshluger-Lepski type method and a Lacour-Massart-Rivoirard type method. Some numerical experiments are provided for this last method.
MSC:
| 62G07 | Density estimation |
Keywords:
Wolverton-Wagner estimator; density estimation; model selection; Goldenshluger-Lepski method; Lacour-Massart-Rivoirard methodReferences:
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