Kernel Density Estimation and Local Time

DOI10.1007/978-3-642-22368-6_2MaRDI QIDQ2914787zbMATH OpenOpenAlexFDO

Authors Ciprian A. Tudor

Publication date 21 September 2012

Published in Stochastic Differential Equations and Processes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-22368-6_2

Mathematics Subject Classification ID

Local time and additive functionals (60J55) Brownian motion (60J65) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Linear regression; mixed models (62J05)

Recommendations

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Cites work

• Asymptotic theory for fractional regression models via Malliavin calculus
• ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
• Chaos expansions and local times
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• scientific article; zbMATH DE number 3416765 (Why is no real title available?)
• Nonlinear Regressions with Integrated Time Series
• Nonparametric estimation in a nonlinear cointegration type model
• Nonparametric estimation in null recurrent time series.
• Occupation densities
• On the quadratic variation of two-parameter continuous martingales
• Regression Theory for Near-Integrated Time Series
• Stochastic integral representation of the \(L^{2}\) modulus of Brownian local time and a central limit theorem
• Structural nonparametric cointegrating regression
• The Malliavin Calculus and Related Topics

Cited in

(5)

• Kernel density approach to error estimation of MF-DFA measures on time series
• scientific article; zbMATH DE number 17218 (Why is no real title available?)
• Correction locale de l'estimateur à noyau de la densité d'une loi de probabilité
• Temps local et estimation sans biais de la densité en temps continu
• Recursive Kernel Density Estimation for Time Series

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