Asymptotics of kernel error density estimators in nonlinear autoregressive models

DOI10.1007/S10910-008-9379-2MaRDI QIDQ552027zbMATH OpenOpenAlexFDO

Authors Ke-Ang Fu, Xiao Rong Yang

Publication date 21 July 2011

Published in Journal of Mathematical Chemistry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10910-008-9379-2

zbMATH Keywords

kernel density estimatornonlinear autoregressive modelsresiduals

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Asymptotics of the \(L_p\)-norms of density estimators in the nonlinear autoregressive models
• Asymptotic distributions of error density estimators in first-order autoregressive models
• Global property of error density estimation in nonlinear autoregressive time series models
• Asymptotic distributions of error density and distribution function estimators in nonparametric regression
• Berry-Esseen bound for error density estimators in nonlinear autoregressive models

Cites work

• A weak convergence result useful in robust autoregression
• Asymptotic distributions of error density estimators in first-order autoregressive models
• On conditional least squares estimation for stochastic processes
• Weak convergence of randomly weighted dependent residual empiricals with applications to autoregression
• Weighted empirical processes in dynamic nonlinear models.

Cited in

(9)

• Kernel estimates of the mean and the volatility functions in a nonlinear autoregressive model with ARCH errors
• Asymptotic distributions of error density estimators in first-order autoregressive models
• Berry-Esseen bound for error density estimators in nonlinear autoregressive models
• Law of the iterated logarithm for error density estimators in nonlinear autoregressive models
• Asymptotics of the \(L_p\)-norms of density estimators in the nonlinear autoregressive models
• Global property of error density estimation in nonlinear autoregressive time series models
• Asymptotic normality of error density estimator in stationary and explosive autoregressive models
• Asymptotic results of error density estimator in nonlinear autoregressive models
• Law of the iterated logarithm for error variance estimator in pth-order non linear autoregressive processes

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