A model-based approach to density estimation in sup-norm

TL;DR

This paper introduces a general model-based method for density estimation in sup-norm, providing oracle inequalities and optimal results for various models, including the single index model with fixed smoothness.

Contribution

It develops a unified approach for sup-norm density approximation and model selection, solving an open problem for the single index model with fixed smoothness.

Findings

Achieves quasi-best approximation in sup-norm for densities within a model.

Provides oracle inequalities for the estimators in a general setting.

Recovers the one-dimensional rate for the single index model with fixed smoothness.

Abstract

We define a general method for finding a quasi-best approximant in sup-norm to a target density belonging to a given model, based on independent samples drawn from distributions which average to the target (which does not necessarily belong to the model). We also provide a general method for selecting among a countable family of such models. These estimators satisfy oracle inequalities in the general setting. The quality of the bounds depends on the volume of sets on which $|p-q|$ is close to its maximum, where $p,q$ belong to the model (or possibly to two different models, in the case of model selection). This leads to optimal results in a number of settings, including piecewise polynomials on a given partition and anisotropic smoothness classes. Particularly interesting is the case of the single index model with fixed smoothness $\beta$, where we recover the one-dimensional rate: this was an open problem.