Bandwidth Selection for the Wolverton-Wagner Estimator
share
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.
READ FULL TEXT