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Estimation of support of a probability density and estimation of support functionals

Author

Listed:
  • KOROSTELEV, A.P.

    (Institute for System Studies, Moscow)

  • TSYBAKOV , A.B.

    (CORE, Université catholique de Louvain, B-1348 Louvain-la-Neuve, Belgium)

Abstract

The problem of estimating the unknown support G [ belong ] [ R^N ] of a uniform density is considered under the assumption that the support G belongs to the class of "boundary fragments" with smooth upper surface. The minimax lower bounds for the accuracy of arbitrary estimators of G are obtained if the distance between sets is Hausdorff metric or measure of symmetric difference. The estimators of support are proposed which are optimal in the sense that they attain the convergence rate of the minimax lower bound. Similar results are proved for the problem of estima.tion of functionals of the density support.

Suggested Citation

  • Korostelev, A.P. & Tsybakov , A.B., 1992. "Estimation of support of a probability density and estimation of support functionals," LIDAM Discussion Papers CORE 1992029, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Handle: RePEc:cor:louvco:1992029
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    File URL: https://sites.uclouvain.be/core/publications/coredp/coredp1992.html
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    Cited by:

    1. Hall, Peter & Nussbaum, Michael & Stern, Steven E., 1997. "On the Estimation of a Support Curve of Indeterminate Sharpness," Journal of Multivariate Analysis, Elsevier, vol. 62(2), pages 204-232, August.

    More about this item

    JEL classification:

    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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