Adaptive pointwise estimation of conditional density function

الأصل · EN

In this paper we consider the problem of estimating f, the conditional density of Y given X, by using an independent sample distributed as (X,Y) in the multivariate setting. We consider the estimation of f(x,.) where x is a fixed point. We define two different procedures of estimation, the first one using kernel rules, the second one inspired from projection methods. Both adapted estimators are tuned by using the Goldenshluger and Lepski methodology. After deriving lower bounds, we show that these procedures satisfy oracle inequalities and are optimal from the minimax point of view on anisotropic Hölder balls. Furthermore, our results allow us to measure precisely the influence of f_X(x) on rates of convergence, where f_X is the density of X. Finally, some simulations illustrate the good behavior of our tuned estimates in practice.