This paper investigates the density estimation problem in the $L^\infty$ norm for dependent data. It is shown that the iid optimal minimax rates are also optimal for smooth classes of stationary sequences satisfying certain $\beta$-mixing (or absolutely regular) conditions. Moreover, for given $\beta$-mixing coefficients, bounds on uniform convergence rates of kernel estimators are computed in terms of the mixing coefficients. The rates and the bounds obtained are not only for estimating the density but also for its derivatives. The results are then applied to give uniform convergence rates in problems associated with the Gibbs sampler.
Publié le : 1993-06-14
Classification:
Density estimation,
Gibbs sampler,
kernel,
Markov chain,
mixing,
optimal rate,
uniform convergence,
62G07,
62F12,
62M05
@article{1176349146,
author = {Yu, Bin},
title = {Density Estimation in the $L^\infty$ Norm for Dependent Data with Applications to the Gibbs Sampler},
journal = {Ann. Statist.},
volume = {21},
number = {1},
year = {1993},
pages = { 711-735},
language = {en},
url = {http://dml.mathdoc.fr/item/1176349146}
}
Yu, Bin. Density Estimation in the $L^\infty$ Norm for Dependent Data with Applications to the Gibbs Sampler. Ann. Statist., Tome 21 (1993) no. 1, pp. 711-735. http://gdmltest.u-ga.fr/item/1176349146/