Let $X_1,...,X_n$ be a random sample from some unknown probability density $f$ defined on a compact homogeneous manifold $\mathbf M$ of dimension $d \ge 1$. Consider a 'needlet frame' $\{ \phi_{ j \eta}\}$ describing a localised projection onto the space of eigenfunctions of the Laplace operator on $\mathbf M$ with corresponding eigenvalues less than $2^{ 2j}$, as constructed in \cite{ GP10}. We prove non-asymptotic concentration inequalities for the uniform deviations of the linear needlet density estimator $f_n(j)$ obtained from an empirical estimate of the needlet projection $\sum_\eta \phi_{ j \eta} \int f \phi_{ j \eta}$ of $f$. We apply these results to construct risk-adaptive estimators and nonasymptotic confidence bands for the unknown density $f$. The confidence bands are adaptive over classes of differentiable and H\"{ older}-continuous functions on $\mathbf M$ that attain their H\"{ o}lder exponents.
Categories: math.ST stat.TH