Canadian Journal of Statistics

Penalized contrast estimator for adaptive density deconvolution

Journal Article


The authors consider the problem of estimating the density g of independent and identically distributed variables XI, from a sample Z1,… Zn such that ZI = XI + σϵ for i = 1,…, n, and E is noise independent of X, with σϵ having a known distribution. They present a model selection procedure allowing one to construct an adaptive estimator of g and to find nonasymptotic risk bounds. The estimator achieves the minimax rate of convergence, in most cases where lower bounds are available. A simulation study gives an illustration of the good practical performance of the method.

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