Nonparametric Confidence Sets for Density

We present a method for constructing nonparametric confidence sets for density functions based on an approach due to Beran and Dümbgen (1998). We expand the density in an appropriate basis and we estimate the basis coefficients by using linear shrinkage methods. We then find the limiting distribution of an asymptotic pivot based on the quadratic loss function. Inverting this pivot yields a confidence ball for the density.