Adaptive density estimation under weak dependence
Assume that () is a real valued time series admitting a common marginal density with respect to Lebesgue's measure. [Donoho (1996) 508–539] propose near-minimax estimators based on thresholding wavelets to estimate f on a compact set in an independent and identically distributed setting. The aim of the present work is to extend these results to general weak dependent contexts. Weak dependence assumptions are expressed as decreasing bounds of covariance terms and are detailed...