Date of Original Version

10-2004

Type

Technical Report

Rights Management

All Rights Reserved

Abstract or Description

We present a method for constructing nonparametric confidence sets for density functions based on an approach due to Beran and Dümbgen (1998). We expand the density in an appropriate basis and we estimate the basis coefficients by using linear shrinkage methods. We then find the limiting distribution of an asymptotic pivot based on the quadratic loss function. Inverting this pivot yields a confidence ball for the density.

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