Delphine BLANKE - Abstract

ADAPTIVE SAMPLING SCHEMES FOR DENSITY ESTIMATION

Delphine BLANKE
Univerité Pierre et Marie Curie
Paris, France

ABSTRACT

We propose sharp sampling schemes for nonparametric density estimation for continuous time processes discretely observed at high rate. Next, since such samplings depend on two coefficients linked with regularity of the underlying sample paths and the density respectively, we give and study the pointwise asymptotic behaviour of an adaptive kernel estimator in the case where one or both of these coefficients are unknown.