Bandwidth Selection for the Wolverton-Wagner Estimator

02/02/2019

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by   Fabienne Comte, et al.

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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(β), estimators of β are obtained by a Goldenshluger-Lepski type method and a Lacour-Massart-Rivoirard type method. Some numerical experiments are provided for this last method.