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Optimal model selection in density estimation

Abstract : 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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Contributor : Matthieu Lerasle <>
Submitted on : Thursday, October 8, 2009 - 10:58:20 AM
Last modification on : Thursday, March 5, 2020 - 5:56:43 PM
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Matthieu Lerasle. Optimal model selection in density estimation. Annales de l'IHP - Probabilités et Statistiques, 2012, 48 (3), pp.884--908. ⟨10.1214/11-AIHP425⟩. ⟨hal-00422655⟩

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