Piecewise linear density estimation for sampled data
نویسنده
چکیده
Abstract – Nonparametric density estimation is considered for a discretely observed stationary continuous-time process. For each of three given time sampling procedures either random or deterministic, we establish that histograms and frequency polygons can reach the same optimal L2-rates as in the independent and identically distributed case. Moreover, thanks to a suitable “high frequency” sampling design, these rates are derived together with a minimized time of observation depending on the regularity of sample paths.
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