Optimal model selection in density estimation

Details Optimal model selection in density estimation Optimal model selection in density estimation

2009-10-09

arxiv.org/abs/0910.1654v2

Mathematics

Statistics Theory

(minor revision)

Scientific paper

We build penalized least-squares estimators using the slope heuristic and
resampling penalties. We prove oracle inequalities for the selected estimator
with leading constant asymptotically equal to 1. We compare the practical
performances of these methods in a short simulation study.

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