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@inproceedings{Pennec2011ConditionalDE, title={Conditional Density Estimation by Penalized Likelihood Model Selection and Applications}, author={Erwan Le Pennec}, year={2011} }

- Published 2011

In this technical report, we consider conditional density estimation with a maximum likelihood approach. Under weak assumptions, we obtain a theoretical bound for a KullbackLeibler type loss for a single model maximum likelihood estimate. We use a penalized model selection technique to select a best model within a collection. We give a general condition on penalty choice that leads to oracle type inequality for the resulting estimate. This construction is applied to two examples of partitionâ€¦Â CONTINUE READING

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