Multivariate intensity estimation via hyperbolic wavelet selection

We propose a new statistical procedure able in some way to overcome the curse of dimensionality without structural assumptions on the function to estimate. It relies on a least-squares type penalized criterion and a new collection of models built from hyperbolic biorthogonal wavelet bases. We study its properties in a unifying intensity estimation framework, where an oracle-type inequality and adaptation to mixed smoothness are shown to hold. Besides, we describe an algorithm for implementing the estimator with a quite reasonable complexity.