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Published in:
2001 | OriginalPaper | Chapter
The Minimum Distance Estimate: Examples
Authors : Luc Devroye, Gábor Lugosi
Published in: Combinatorial Methods in Density Estimation
Publisher: Springer New York
Included in: Professional Book Archive
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Given a class F of densities, we are to construct a density estimate such that it performs almost as well as the best density in the class. We saw that the skeleton estimate defined in the previous chapter always works when F is totally bounded. In this chapter we analyze the minimum distance estimate described in Section 6.8. Assume that the densities f θ ∈ F are indexed by a parameter θ ∈ Θ.