Adaptive Density Estimation Using Projection Kernels and Penalized Comparison to Overfitting
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In this work, we study wavelet projection estimators for density estimation, based on compactly supported $\mathcal S$-regular scaling functions. The main issue is the choice of the resolution level, which determines the bias--variance trade-off. We select this level by a Penalized Comparison to Overfitting (PCO) criterion: each candidate estimator is compared in $Ł^2(\R)$ with a single overfitting reference, and the additional stochastic fluctuation is corrected by an explicit penalty. For the selected estimator, we prove a high-probability oracle inequality and a risk oracle inequality in expectation. Over Besov balls of densities satisfying a common $Ł^\infty$ bound, the risk inequality yields the rate $n^{-2r/(2r+1)}$ uniformly over the class, with a sufficient penalty threshold that can be chosen uniformly over the class. This rate has the classical minimax order, and the procedure adapts to the unknown Besov regularity. Numerical experiments on several density shapes confirm that the data-driven level is close to the oracle one and adapts to the structure of the target.