Abstract
Assume one observes independent categorical variables or, equivalently, one observes the corresponding multinomial variables. Estimating the distribution of the observed sequence amounts to estimating the expectation of the multinomial Sequence. A new estimator for this mean is proposed that is nonparametric, non-asymptotic and implementable even for large sequences. It is a penalized least-squares estimator based oil wavelets, with a penalization term inspired by papers of Birge and Massart. The estimator is proved to satisfy ail oracle inequality and to be adaptive in the minimax sense over a class of Besov bodies. The method is embedded in a general framework which allows us to recover also an existing method for segmentation. Beyond theoretical results, a simulation Study is reported and an application on real data is provided.
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