On the pointwise mean squared error of a multidimensional term-by-term thresholding wavelet estimator

Christophe Chesneau () and Fabien Navarro ()
Additional contact information
Christophe Chesneau: Université de Caen; LMNO
Fabien Navarro: CREST;ENSAI

No 2017-68, Working Papers from Center for Research in Economics and Statistics

Abstract: In this paper we provide a theoretical contribution to the pointwise mean squared error of an adaptive multidimensional term-by-term thresholding wavelet estimator. A general result exhibiting fast rates of convergence under mild assumptions on the model is proved. It can be applied for a wide range of nonparametric models including possible dependent observations. We give applications of this result for the nonparametric regression function estimation problem (with random design) and the conditional density estimation problem

Keywords: Pointwise mean squared error; Wavelet methods; Density estimation; Nonparametric regression (search for similar items in EconPapers)
Pages: 17 pages
Date: 2017-12-13
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