Kernel entropy estimation for linear processes

DOI10.1111/JTSA.12286MaRDI QIDQ4577084zbMATH OpenOpenAlexFDO

Authors

Publication date 11 July 2018

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1712.00196

zbMATH Keywords

kernel entropy estimationlinear processprojection operatorquadratic functional

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Nonparametric estimation (62G05) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: Let $X_n:ninmathbbN$ be a linear process with bounded probability density function $f(x)$. We study the estimation of the quadratic functional $in{t}_{mathbbR}{f}^2(x),dx$. With a Fourier transform on the kernel function and the projection method, it is shown that, under certain mild conditions, the estimator [ frac{2}{n(n-1)h_n} sum_{1le i<jle n}Kleft(frac{X_i-X_j}{h_n} ight) ] has similar asymptotical properties as the i.i.d. case studied in Gin'{e} and Nickl (2008) if the linear process $X_n:ninmathbbN$ has the defined short range dependence. We also provide an application to $L_2^2$ divergence and the extension to multivariate linear processes. The simulation study for linear processes with Gaussian and $alpha$-stable innovations confirms our theoretical results. As an illustration, we estimate the $L_2^2$ divergences among the density functions of average annual river flows for four rivers and obtain promising results.

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Cited in

(10)

• Kernel estimation under linear-exponential loss
• Kernel based multiscale partial Renyi transfer entropy and its applications
• Maximum Entropy Kernels for System Identification
• Kernel density estimation for linear processes
• Kernel density estimation for linear processes
• Limit theorems for functionals of long memory linear processes with infinite variance
• On the integrated mean squared error of wavelet density estimation for linear processes
• On the validity of the residual-based bootstrap for the unit root test statistic with long memory observations
• Kernel estimation for quadratic functional of long memory linear processes with infinite variance
• Limit theorems for functionals of linear processes in critical regions

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