The Root-Unroot Algorithm for Density Estimation as Implemented via Wavelet Block Thresholding
Lawrence Brown, Tony Cai, Ren Zhang, Linda Zhao, and Harrison Zhou
In principle many common nonparametric regression estimators could be used in the implementation of this algorithm. We propose use of a wavelet block thresholding estimator. The entire algorithm is then convenient to implement. We show that the resulting density estimator enjoys a high degree of adaptivity. A numerical example and a practical data example are discussed to illustrate and explain the use of this density estimation procedure.
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