Nonparametric density estimation for a long-range dependent linear process

DOI10.1023/A:1017504723799MaRDI QIDQ5936202zbMATH OpenFDO

Authors Toshio Honda

Publication date 4 February 2002

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/A:1017504723799

zbMATH Keywords

asymptotic normalitybandwidthkernel density estimatorlinear processlong-range dependence

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

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• Functional convergence and optimality of plug-in estimators for stationary densities of moving average processes
• Effect of dependence on stochastic measures of accuracy of density estimators
• Estimating invariant laws of linear processes by U-statistics.
• Density estimation under long-range dependence
• On estimating the cumulant generating function of linear processes
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• Nonparametric estimation under long memory dependence
• Kernel entropy estimation for linear processes
• On non parametric statistical inference for densities under long-range dependence
• Non‐Parametric Spectral Density Estimation Under Long‐Range Dependence
• scientific article; zbMATH DE number 775741 (Why is no real title available?)
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• Testing for the expected number of exceedances in strongly dependent seasonal time series
• On nonparametric density estimation for multivariate linear long-memory processes
• Memory properties of transformations of linear processes
• Marginal density estimation for linear processes with cyclical long memory
• Kernel density estimation for linear processes
• Efficient density estimation in an AR(1) model
• Root-\(n\) consistency in weighted \(L _{1}\)-spaces for density estimators of invertible linear processes
• Nonparametric density estimation for linear processes with infinite variance
• Convergence rates in density estimation for data from infinite-order moving average processes
• Uniformly root-\(n\) consistent density estimators for weakly dependent invertible linear proc\-esses

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