Abstract
Here we propose a new quantile density function estimator via block thresholding methods and investigate its asymptotic convergence rates under Lp risk with p≥2 over Besov balls. We show that the considered estimator achieves optimal or near optimal rates of convergence according to the values of the parameter ν of the Besov classes Bs v,q. We show that this estimator attain optimal and nearly optimal rates of convergence over a wide range of Besov function classes, and in particular enjoys those faster rates without the extraneous logarithmic penalties that given in Chesneau et al. A simulation study shows new proposed estimator performs better at the tails than existing competitors.
Original language | English |
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Number of pages | 15 |
Journal | Communications in Statistics - Simulation and Computation |
DOIs | |
Publication status | E-pub ahead of print - 4 Sep 2019 |
Keywords
- Adaptivity
- Block thresholding
- Lp risk function
- Quantile density function
- Wavelets