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arXiv · 1902.00734

Bandwidth Selection for the Wolverton-Wagner Estimator

Fabienne Comte·Nicolas Marie
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Abstract

For $n$ independent random variables having the same H\"older continuous density, this paper deals with controls of the Wolverton-Wagner's estimator MSE and MISE. Then, for a bandwidth $h_n(\beta)$, estimators of $\beta$ are obtained by a Goldenshluger-Lepski type method and a Lacour-Massart-Rivoirard type method. Some numerical experiments are provided for this last method.

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Fabienne Comte, Nicolas Marie. 2019-02-02. Bandwidth Selection for the Wolverton-Wagner Estimator. https://doi.org/10.1016/j.jspi.2019.12.003

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