Adaptive Greedy Algorithm for Moderately Large Dimensions in Kernel Conditional Density Estimation

Minh-Lien Jeanne Nguyen, Claire Lacour, Vincent Rivoirard.

Year: 2022, Volume: 23, Issue: 254, Pages: 1−74


This paper studies the estimation of the conditional density $f(x,\cdot)$ of $Y_i$ given $X_i=x$, from the observation of an i.i.d. sample $(X_i,Y_i)\in \mathbb R^d$, $i\in \{1,\dots,n\}.$ We assume that $f$ depends only on $r$ unknown components with typically $r\ll d$.We provide an adaptive fully-nonparametric strategy based on kernel rules to estimate $f$. To select the bandwidth of our kernel rule, we propose a new fast iterative algorithm inspired by the Rodeo algorithm (Wasserman and Lafferty, 2006) to detect the sparsity structure of $f$. More precisely, in the minimax setting, our pointwise estimator, which is adaptive to both the regularity and the sparsity, achieves the quasi-optimal rate of convergence. Our results also hold for (unconditional) density estimation. The computational complexity of our method is only $O(dn \log n)$. A deep numerical study shows nice performances of our approach.