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Nonnegative piecewise linear histograms *  

Authors: Alain Berlinet a; Igor Vajda - b
Affiliations:   a University of Montpellier II, France
b Czech Academy of Sciences, Czech Republic
DOI: 10.1080/02331880108802738
Publication Frequency: 6 issues per year
Published in: journal Statistics, Volume 35, Issue 4 2001 , pages 295 - 317
Formats available: PDF (English)
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Abstract

We introduce a modified version ƒnof the piecewiss linear hisiugrimi uf Beirlant et al. (1998) which is a true probability density, i.e., ƒn[d] 0 and [d]ƒn=1. We prove that ƒnestimates the underlying densitv ƒ strongly consistently in the L1mmn, derive large deviation inequalities for the t\ error \ƒn- f\ and prove that pound||/"-/|| tends to zero with the rate n -1\3, We also show that the derivative lf'n estimates consistently in ine expected Lx error the derivative/ of sufficiently smooth density and evaluate the rate of convergence n-i/5 for Epf'n -f'% The estimator/" thus enables to approximate/in the Besov space with a guaranteed rate of convergence. Optimization of the smoothing parameter is also studied. The theoretical or experimentally approximated values of the expected errors E\\ƒn- f\\ and E||2ƒ'n-ƒ' are compared with tiie errors aCiiieveu u-y t"e histogram of Beirlant et ah, and other nonparametric methods.
*Supported by the EU grant Copernicus 579 and by the University of Montpellier II, GACR grant 102/99/1137
Keywords: Density estimation; Density derivative estimation; Histogram; Modified histogram; Mean integrated absolute errors; Asymptotics of errors; Optimization
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