Rate of convergence of a convolution-type estimator of the marginal density of a MA(1) process

DOI10.1016/S0304-4149(98)00091-XzbMath0954.62044OpenAlexW1987371687WikidataQ61849357 ScholiaQ61849357MaRDI QIDQ1593614

Ricardo Cao, Ángeles Saavedra

Publication date: 17 January 2001

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(98)00091-x

zbMATH Keywords

kernel estimatormarginal densitymoving-average process

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Stationary stochastic processes (60G10)

Related Items (21)

Estimating invariant laws of linear processes by \(U\)-statistics. ⋮ Forward and reverse representations for Markov chains ⋮ A Convolution Estimator for the Density of Nonlinear Regression Observations ⋮ \(\sqrt{n}\)-consistent density estimation in semiparametric regression models ⋮ Root n consistent and optimal density estimators for moving average processes ⋮ Root-\(n\) consistent estimation of the marginal density in semiparametric autoregressive time series models ⋮ Root-\(n\) consistency in weighted \(L _{1}\)-spaces for density estimators of invertible linear processes ⋮ Estimating the density of a possibly missing response variable in nonlinear regression ⋮ Uniform convergence of convolution estimators for the response density in nonparametric regression ⋮ On the estimation of the marginal density of a moving average process ⋮ SMOOTHED BOOTSTRAP BANDWIDTH SELECTION IN NONPARAMETRIC DENSITY ESTIMATION FOR MOVING AVERAGE PROCESSES ⋮ Rootnconsistent density estimators for sums of independent random variables ⋮ Bootstrap with larger resample size for root-\(n\) consistent density estimation with time series data ⋮ Functional convergence and optimality of plug-in estimators for stationary densities of moving average processes ⋮ Some developments in semiparametric statistics ⋮ Uniformly root-\(n\) consistent density estimators for weakly dependent invertible linear proc\-esses ⋮ \(\sqrt{n}\)-uniformly consistent density estimation in nonparametric regression models ⋮ Improved Density Estimators for Invertible Linear Processes ⋮ Exact asymptotics for estimating the marginal density of discretely observed diffusion proc\-esses ⋮ Plug-in estimators for higher-order transition densities in autoregression ⋮ Non Standard Behavior of Density Estimators for Functions of Independent Observations

Uses Software

• KernSmooth

Cites Work

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• Using non-stochastic terms to advantage in kernel-based estimation of integrated squared density derivatives
• Convergence rates in density estimation for data from infinite-order moving average processes
• Estimation of integrated squared density derivatives
• Nonparameteric estimation in mixing sequences of random variables
• Time series: theory and methods.
• Optimal plug-in estimators for nonparametric functional estimation
• Adaptive root \(n\) estimates of integrated squared density derivatives
• Smoothing methods in statistics
• On the estimation of the marginal density of a moving average process
• Probability density estimation from sampled data
• Studentized estimation of a certain functional of a probability density function
• On asymptotic properties of an estimate of a functional of a probability density
• Recursive density estimation under dependence

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