Université Paris 6
Pierre et Marie Curie
Université Paris 7
Denis Diderot

CNRS U.M.R. 7599
``Probabilités et Modèles Aléatoires''

Adaptive Confidence Interval for Pointwise Curve Estimation

Auteur(s):

Code(s) de Classification MSC:

Résumé: We present a procedure associated with non linear wavelet methods providing adaptive confidence intervals around $f(x_0)$,in either a white noise model or a regression setting. A suitable modification in the truncation allows to achieve the optimal coverage accuracy up to a logarithmic factor. The procedure does not require the usual extra knowledge on the regularity of the unknown function $f$; it is also efficient for functions with a low degree of regularity.

Mots Clés: Adaptive estimation; Confidence interval; Edgeworth expansion; Wavelet methods

Date: 1999-02-04

Prépublication numéro: PMA-484