Fast rates for plug-in estimators of density level sets
Résumé
In the context of density level set estimation, we recall the notion of $\gamma$-exponent of a density at a certain level. This notion is similar to Tsybakov's margin assumption and allows us to prove fast rates of convergence for general plug-in methods, up to order $n^{-1}$ when the density is supposed to be smooth in a neighborhood of the level under consideration. Lower bounds proving optimality of the rates in a minimax sense are also provided.
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