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Keywords:
argmin-theorem; density estimation; step functions; martingale inequalities; multivariate cadlag stochastic processes
argmin-theorem; density estimation; step functions; martingale inequalities; multivariate cadlag stochastic processes
Summary:
We establish consistent estimators of jump positions and jump altitudes of a multi-level step function that is the best $L^2$-approximation of a probability density function $f$. If $f$ itself is a step-function the number of jumps may be unknown.
References:
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