Given N i.i.d. observations {Xi}Ni=1 taking values in a compact subset of Rd, such that p* denotes their common probability density function, we estimate p* from an exponential family of densities based on single hidden layer sigmoidal networks using a certain minimum complexity density estimation scheme. Assuming that p* possesses a certain exponential representation, we establish a rate of convergence, independent of the dimension d, for the expected Hellinger distance between the proposed minimum complexity density estimator and the true underlying density p*.

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