Copyright © 2011 Christophe Chesneau. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Abstract

The estimation of a biased density for exponentially strongly mixing sequences is investigated. We construct a new adaptive wavelet estimator based on a hard thresholding rule. We determine a sharp upper bound of the associated mean integrated square error for a wide class of functions.