Linear and convex aggregation of density estimators

Abstract

We study the problem of finding the best linear and convex combination of M estimators of a density with respect to the mean squared risk. We suggest aggregation procedures and we prove sharp oracle inequalities for their risks, i.e., oracle inequalities with leading constant 1. We also obtain lower bounds showing that these procedures attain optimal rates of aggregation. As an example, we consider aggregation of multivariate kernel density estimators with different bandwidths. We show that linear and convex aggregates mimic the kernel oracles in asymptotically exact sense. We prove that, for Pinsker’s kernel, the proposed aggregates are sharp asymptotically minimax simultaneously over a large scale of Sobolev classes of densities. Finally, we provide simulations demonstrating performance of the convex aggregation procedure.