Exponential confidence region based on the projection density estimate. Recursivity of these estimations

M. R. Formica; E. Ostrovsky; L. Sirota

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arXiv · 2110.01983

Exponential confidence region based on the projection density estimate. Recursivity of these estimations

M. R. Formica·E. Ostrovsky·L. Sirota

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Abstract

We investigate the famous Tchentzov's projection density statistical estimation in order to deduce the exponential decreasing tail of distribution for the natural normalized deviation. We modify these estimations assuming the square integrability of estimated function, to make it recursive form, which is more convenient for applications, however they have at the same speed of convergence as the for the classical ones in the composite Hilbert space norm.

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M. R. Formica, E. Ostrovsky, L. Sirota. 2021-10-05. Exponential confidence region based on the projection density estimate. Recursivity of these estimations. https://arxiv.org/abs/2110.01983

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