Functional convergence and optimality of plug-in estimators for stationary densities of moving average processes

DOI10.3150/BJ/1099579161zbMATH Open1058.62072OpenAlexW1968564032MaRDI QIDQ1769788FDOQ1769788

Authors: 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

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zbMATH Keywords

semiparametric modeltime seriesfunctional central limit theoremefficient estimatorleast dispersed estimatorplug-in estimator

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) (L^p)-limit theorems (60F25)

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Cited In (15)

• Root n consistent and optimal density estimators for moving average processes
• Estimating the density of a possibly missing response variable in nonlinear regression
• Non standard behavior of density estimators for functions of independent observations
• Improved Density Estimators for Invertible Linear Processes
• Some developments in semiparametric statistics
• Efficient prediction for linear and nonlinear autoregressive models
• Uniformly root-\(n\) consistent density estimators for weakly dependent invertible linear proc\-esses
• Optimal plug-in estimators for multivariate distributions with conditionally independent components
• Root-\(n\) consistency in weighted \(L _{1}\)-spaces for density estimators of invertible linear processes
• Prediction in moving average processes
• Rootnconsistent density estimators for sums of independent random variables
• Efficient density estimation in an AR(1) model
• Uniform convergence of convolution estimators for the response density in nonparametric regression
• Density estimation for nonlinear parametric models with conditional heteroscedasticity
• Plug-in estimators for higher-order transition densities in autoregression

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