Rate of convergence of a convolution-type estimator of the marginal density of a MA(1) process

DOI10.1016/S0304-4149(98)00091-XzbMath0954.62044WikidataQ61849357 ScholiaQ61849357MaRDI QIDQ1593614

Ricardo Cao, Ángeles Saavedra

Publication date: 17 January 2001

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

kernel estimator; marginal density; moving-average process

Mathematics Subject Classification ID

62G07: Density estimation

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

62G20: Asymptotic properties of nonparametric inference

60G10: Stationary stochastic processes

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Uses Software

• KernSmooth

Cites Work

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