Mixing Strategies for Density Estimation

General results on adaptive density estimation are obtained with respect to any countable collection of estimation strategies under Kullback-Leibler and square L 2 losses. It is shown that without knowing which strategy works best for the underlying density, a single strategy can be constructed by mixing the proposed ones to be adaptive in terms of statistical risks. A consequence is that under some mild conditions, an asymptotically minimax-rate adaptive estimator exists for a given countable collection of density classes, i.e., a single estimator can be constructed to be simultaneously minimax-rate optimal for all the function classes being considered. A demonstration is given for high-dimensional density estimation on 0; 1] d where the constructed estimator adapts to smoothness and interaction-order over some piecewise Besov classes, and is consistent for all the densities with nite entropy.