Sparse Density Estimation with Measurement Errors
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This paper aims to build an estimate of an unknown density of the data with measurement error as a linear combination of functions of a dictionary. Inspired by penalization approach, we propose the weighted Elastic-net penalized minimal L_2-distance method for sparse coefficients estimation, where the weights adaptively coming from sharp concentration inequalities. The optimal weighted tuning parameters are obtained by the first-order conditions holding with high-probability. Under local coherence or minimal eigenvalue assumptions, non-asymptotical oracle inequalities are derived. These theoretical results are transposed to obtain the support recovery with high-probability. Then, the issue of calibrating these procedures is studied by some numerical experiments for discrete and continuous distributions, it shows the significant improvement obtained by our procedure when compared with other conventional approaches. Finally, the application is performed for a meteorology data set. It shows that our method has potency and superiority of detecting the shape of multi-mode density compared with other conventional approaches.
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