A comparative study of two convolution-type estimators of the marginal density of moving average processes (Q1979101)
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scientific article; zbMATH DE number 1452447
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| English | A comparative study of two convolution-type estimators of the marginal density of moving average processes |
scientific article; zbMATH DE number 1452447 |
Statements
A comparative study of two convolution-type estimators of the marginal density of moving average processes (English)
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24 May 2000
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Kernel estimators of the marginal density function of a moving average process are studied. An exact expression for the mean integrated square error is given when the process is assumed to be Gaussian. A comparisons of the proposed kernel estimator and the Parzen-Rozenblatt estimator is proposed. A simulation study is given.
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kernel estimators
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smoothing parameter
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mean integrated squared error
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time series
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0.9150277972221376
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0.8736215829849243
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0.8328427076339722
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