Functional convergence and optimality of plug-in estimators for stationary densities of moving average processes
From MaRDI portal
Publication:1769788
DOI10.3150/bj/1099579161zbMath1058.62072MaRDI QIDQ1769788
Anton Schick, Wolfgang Wefelmeyer
Publication date: 30 March 2005
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3150/bj/1099579161
functional central limit theorem; time series; semiparametric model; efficient estimator; plug-in estimator; least dispersed estimator
62G07: Density estimation
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G20: Asymptotic properties of nonparametric inference
60F05: Central limit and other weak theorems
60F17: Functional limit theorems; invariance principles
60F25: (L^p)-limit theorems
Related Items
Rootnconsistent density estimators for sums of independent random variables, Root n consistent and optimal density estimators for moving average processes, Efficient prediction for linear and nonlinear autoregressive models, Uniformly root-\(n\) consistent density estimators for weakly dependent invertible linear proc\-esses, Improved Density Estimators for Invertible Linear Processes
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