Asymptotics of the \(L_p\)-norms of density estimators in the first-order autoregressive models.

DOI10.1016/j.spl.2003.06.007zbMath1104.62034MaRDI QIDQ1423022

Ričardas Zitikis, Lajos Horváth

Publication date: 14 February 2004

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2003.06.007

zbMATH Keywords

AR(1) processes; Stationary processes; Residuals; \(L_p\)-norms

Mathematics Subject Classification ID

62G07: Density estimation

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G20: Asymptotic properties of nonparametric inference

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Law of the iterated logarithm for error density estimators in nonlinear autoregressive models, Asymptotics of $L_\lambda$ -Norms of ARCH(p) Innovation Density Estimators, On the Bickel–Rosenblatt test of goodness-of-fit for the residuals of autoregressive processes, Asymptotic of theL_r-norm of density estimators in the autoregressive time series, On the weak convergence of kernel density estimators inL^pspaces, TESTING GOODNESS OF FIT BASED ON DENSITIES OF GARCH INNOVATIONS

Cites Work

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