Log-Density Deconvolution by Wavelet Thresholding
AbstractThis paper proposes a new wavelet-based method for deconvolving a density. The estimator combines the ideas of nonlinear wavelet thresholding with periodised Meyer wavelets and estimation by information projection. It is guaranteed to be in the class of density functions, in particular it is positive everywhere by construction. The asymptotic optimality of the estimator is established in terms of rate of convergence of the Kullback-Leibler discrepancy over Besov classes. Finite sample properties is investigated in detail, and show the excellent empirical performance of the estimator, compared with other recently introduced estimators.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Institut d'Économie Industrielle (IDEI), Toulouse in its series IDEI Working Papers with number 635.
Date of creation: 11 Feb 2009
Date of revision:
Contact details of provider:
Postal: Manufacture des Tabacs, Aile Jean-Jacques Laffont, 21 Allée de Brienne, 31000 TOULOUSE
Phone: +33 (0)5 61 12 85 89
Fax: + 33 (0)5 61 12 86 37
Web page: http://www.idei.fr/
More information through EDIRC
deconvolution; wavelet thresholding; adaptive estimation;
Other versions of this item:
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Johannes, Jan & Van Bellegem, Sébastien & Vanhems, Anne, 2009.
"Convergence Rates for III-Posed Inverse Problems with an Unknown Operator,"
TSE Working Papers
09-030, Toulouse School of Economics (TSE).
- Johannes, Jan & Van Bellegem, Sébastien & Vanhems, Anne, 2011. "Convergence Rates For Ill-Posed Inverse Problems With An Unknown Operator," Econometric Theory, Cambridge University Press, vol. 27(03), pages 522-545, June.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.