Central limit theorems for \(L_ p\)-norms of density estimators (Q1110895)

Let \(X_ 1,X_ 2,..\). be a sequence of independent identically distributed random variables with a smooth density function f. The authors obtain central limit theorems for \(\int^{\infty}_{- \infty}| f_ n(t)-f(t)|^ pd\mu (t)\), \(1\leq p<\infty\), where \(f_ n\) is a kernel estimate of f and \(\mu\) is a measure on the Borel sets of R. The method is based on approximations of the empirical process \(n^{1/2}(F_ n(x)-F(x))\), \(x\in R\), and on a central limit theorem for the \(L_ p\)-norm, \(p\geq 1\), of Gaussian processes.