An ARMA type probability density estimator

DOI10.1214/AOS/1176350839MaRDI QIDQ1103296zbMATH OpenOpenAlexFDO

Authors J. D. Hart

Publication date 1988

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176350839

zbMATH Keywords

Fourier coefficientsregularly varying functionmean integrated squared errordensity estimatorgeneralized jackknifebest tapered Fourier series estimatorrational form of an ARMA spectrum

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• The ARMA method of approximating probability density functions
• Consistency of an autorsgressive density estimator
• Efficiency of a Kernel Density Estimator Under an Autoregressive Dependence Model
• Integrated consistency of smoothed probability density estimators for stationary sequences
• On the estimation of the probability density by trigonometric series

Cited in

(4)

• Optimal kernel estimation of densities
• The ARMA method of approximating probability density functions
• Consistency of an autorsgressive density estimator
• Adaptive Fourier tester for statistical estimation

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