Adaptive directional estimator of the density in Rd for independent and mixing sequences

A new multivariate density estimator for stationary sequences is obtained by Fourier inversion of the thresholded empirical characteristic function. This estimator does not depend on the choice of parameters related to the smoothness of the density; it is directly adaptive. We establish oracle inequalities valid for independent, $\alpha$-mixing and $\tau$-mixing sequences, which allows us to derive optimal convergence rates, up to a logarithmic loss. On general anisotropic Sobolev classes, the estimator adapts to the regularity of the unknown density but also achieves directional adaptivity. More precisely, the estimator is able to reach the convergence rate induced by the best Sobolev regularity of the density of $AX$, where $A$ belongs to a class of invertible matrices describing all the possible directions. The estimator is easy to implement and numerically efficient. It depends on the calibration of a parameter for which we propose an innovative numerical selection procedure, using the Euler characteristic of the thresholded areas.