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A comparative study of new cross-validated bandwidth selectors for kernel density estimation
kernel density estimation data-adaptive bandwidth selection indirect cross-validation do-validation.
2012/11/22
Recent contributions to kernel smoothing show that the performance of cross-validated bandwidth selectors improve significantly from indirectness. Indirect crossvalidation first estimates the classica...
Asymptotic minimax risk of predictive density estimation for non-parametric regression
asymptotic minimax risk convergence rate non-parametric regression
2010/10/19
We consider the problem of estimating the predictive density of future observations from a non-parametric regression model. The density estimators are evaluated under Kullback--Leibler divergence and ...
Sharp estimates for the convergence of the density of the Euler scheme in small time
Sharp estimates Euler scheme marginal laws
2009/3/20
In this work, we approximate a diffusion process by its Euler scheme and we study the convergence of the density of the marginal laws. We improve previous estimates especially for small time.