We address the problem of adaptive minimax density estimation on $bR^d$ with $bL_p$--loss on the anisotropic Nikolskii classes. We fully characterize behavior of the minimax risk for different relationships between regularity parameters and norm inde
xes in definitions of the functional class and of the risk. In particular, we show that there are four different regimes with respect to the behavior of the minimax risk. We develop a single estimator which is (nearly) optimal in orderover the complete scale of the anisotropic Nikolskii classes. Our estimation procedure is based on a data-driven selection of an estimator from a fixed family of kernel estimators.
