A Note on the Adaptive Estimation of a Conditional Continuous-Discrete Multivariate Density by Wavelet Methods

We investigate the estimation of a multivariate continuous-discrete conditional density. We develop an adaptive estimator based on wavelet methods. We prove its good theoretical performance by determining sharp rates of convergence under the Lp risk with p≥1 for a wide class of unknown conditional densities. A simulation study illustrates the good practical performance of our estimator