Bandwidth Selection for the Wolverton-Wagner Estimator

Abstract

For $n$ independent random variables having the same Hölder continuous density, this paper deals with controls of the Wolverton-Wagner's estimator MSE and MISE. Then, for a bandwidth $h_n(\beta )$, estimators of $\beta$ are obtained by a Goldenshluger-Lepski type method and a Lacour-Massart-Rivoirard type method. Some numerical experiments are provided for this last method.

26 pages, 5 figures

References in corpus (1)

• Concentration around the mean for maxima of empirical processes

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