| Université Paris 6 Pierre et Marie Curie | Université Paris 7 Denis Diderot | |
| CNRS U.M.R. 7599 | ||
| ``Probabilités et Modèles Aléatoires'' | ||
Auteur(s):
Code(s) de Classification MSC:
Résumé: We consider the problem of nonparametric estimation of $d$-dimensional probability density and its ``principal directions" in the model of Independent Component Analysis. A new method of estimation based on diagonalization of nonparametric estimates of certain matrix functionals of the density is suggested. We show that the proposed estimators of principal directions are $\sqrt{n}$-consistent and that the corresponding density estimators converge at the optimal rate.
Mots Clés: Independent Component Analysis ; nonparametric density estimation ; estimation of
functionals ; projection pursuit
Date: 2002-11-14
Prépublication numéro: PMA-774
Postscript file: PMA-774.ps
Pdf file: PMA-774.pdf