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| Main Author: | |
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| Format: | Preprint |
| Published: |
2025
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2506.20239 |
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Table of Contents:
- 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 $β$, where we recover the one-dimensional rate: this was an open problem.