Oracally efficient estimation of autoregressive error distribution with simultaneous confidence band (Q2249844): Difference between revisions

The authors consider estimation for the cumulative distribution function of unobserved errors in autoregressive time series. Two estimates of the cdf \(F(z)\) are considered: a kernel distribution estimator \(\widehat{F}(z)\) and a two-step plug-in estimator \(\widehat{F}(z)\). The uniform closeness of these estimates under Hölder continuity assumption on \(F\) is proved in Section 2. In Sections 3 and 4, implementation and performance of the estimators are discussed. Performance results are presented for the standard normal distribution and standard double exponential distribution.