Functional estimation for time series: Uniform convergence properties
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The authors deal with the estimation of the density of the marginal distribution of \(X_1\) and of the regression function \(r(x)= E(Y_1\mid X_1=x)\) relative to \(Z\) for a strongly mixing stationary process \(Z= (X_n, Y_n)_{n\in N^*}\). For this purpose they extend the results of \textit{G. Walter} and \textit{J. Blum} [Ann. Stat. 7, 328-340 (1979; Zbl 0403.62025)] on probability density estimation using delta sequences. They show that variance bounds for the estimates achieve minimax convergence rates.
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Cited in
(20)- Estimation and test of linearity for a class of additive nonlinear models
- Functional estimation for time series. I: Quadratic convergence properties
- Weak dependence beyond mixing and asymptotics for nonparametric regression
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- Nonparametric estimation of the hazard function under dependence conditions
- A Projection-Based Nonparametric Test of Conditional Quantile Independence
- Statistical Inference for Functional Time Series
- Evaluation for moments of a ratio with application to regression estimation
- Extremes of projections of functional time series on data-driven basis systems
- Uniformly root-\(n\) consistent density estimators for weakly dependent invertible linear proc\-esses
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