Some asymptotic results on density estimators by wavelet projections

Abstract

Let $(X_i)_{i\geq 1}$ be an i.i.d. sample on $\RRR^d$ having density $f$. Given a real function $\phi$ on $\RRR^d$ with finite variation and given an integer valued sequence $(j_n)$, let $\fn$ denote the estimator of $f$ by wavelet projection based on $\phi$ and with multiresolution level equal to $j_n$. We provide exact rates of almost sure convergence to 0 of the quantity $\sup_{x\in H}\mid \fn(x)-\EEE(\fn)(x)\mid$, when $n2^{-dj_n}/\log n \rar \infty$ and $H$ is a given hypercube of $\RRR^d$. We then show that, if $n2^{-dj_n}/\log n \rar c$ for a constant $c>0$, then the quantity $\sup_{x\in H}\mid \fn(x)-f\mid$ almost surely fails to converge to 0.