Efficient estimation of integral functionals of a density
Efficient estimation of integral functionals of a density
We consider the problem of estimating a functional of a density of the type $\int \phi (f, \cdot)$. Starting from efficient estimators of linear and quadratic functionals of f and using a Taylor expansion of $\phi$, we build estimators that achieve the $n^{-1/2}$ rate whenever f is smooth enough. Moreover, …