Article dans une série de papiers de travail :

Jérôme Bigot et Sébastien Van Bellegem, « Log-Density Deconvolution by Wavelet Thresholding », TSE Working Paper, n°09-011, 11 février 2009.
[ Texte complet ]


This paper proposes a new wavelet-based method for deconvolving a density. The estimator combines the ideas of nonlinear wavelet thresholding with periodised Meyer wavelets and estimation by information projection. It is guaranteed to be in the class of density functions, in particular it is positive everywhere by construction. The asymptotic optimality of the estimator is established in terms of rate of convergence of the Kullback-Leibler discrepancy over Besov classes. Finite sample properties is investigated in detail, and show the excellent empirical performance of the estimator, compared with other recently introduced estimators.

Mots clefs

deconvolution, wavelet thresholding, adaptive estimation

Groupe thématique TSE

Econométrie et Economie Empirique