Adaptive wavelet estimator for nonparametric density deconvolution

Abstract

The problem of estimating a density $g$ based on a sample $X_1, X_2,\dots, X_n$ from $p = q*g$ is considered. Linear and nonlinear wavelet estimators based on Meyer-type wavelets are constructed. The estimators are asymptotically optimal and adaptive if $g$ belongs to the Sobolev space $H^{\alpha}$ . Moreover, the estimators considered in this paper adjust automatically to the situation when $g$ is supersmooth.