Wavelet linear density estimator for a discrete-time stochastic process: \(L_ p\)-losses

DOI10.1016/0167-7152(95)00046-1zbMath0845.62033OpenAlexW2021652062MaRDI QIDQ1916172

Frédérique Leblanc

Publication date: 18 September 1996

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

Full work available at URL: https://doi.org/10.1016/0167-7152(95)00046-1

zbMATH Keywords

rate of convergenceBesov spaceMarkov chainsstrongly mixingARCH modellinear wavelet density estimatorARF(1) model

Mathematics Subject Classification ID

Density estimation (62G07) Non-Markovian processes: estimation (62M09) Markov processes: estimation; hidden Markov models (62M05)

Related Items (16)

Wavelet estimation for derivative of a density in the presence of additive noise ⋮ Asymptotic normality for the wavelets estimator of the additive regression components ⋮ Minimum Hellinger distance estimation for discretely observed stochastic processes using recursive kernel density estimator ⋮ Adaptive wavelet estimation of a function from an m-dependent process with possibly unbounded m ⋮ Multivariate probability density estimation by wavelet methods: Strong consistency and rates for stationary time series ⋮ On the integrated mean squared error of wavelet density estimation for linear processes ⋮ Wavelet estimation for derivative of a density in a GARCH-type model ⋮ On the adaptive wavelet deconvolution of a density for strong mixing sequences ⋮ Wavelet based estimation for the derivative of a density by block thresholding under random censorship ⋮ Adaptive wavelet estimation of a biased density for strongly mixing sequences ⋮ A general result on the mean integrated squared error of the hard thresholding wavelet estimator under \(\alpha\)-mixing dependence ⋮ Wavelet linear estimation for derivatives of a density from observations of mixtures with varying mixing proportions ⋮ Wavelet based estimation of the derivatives of a density for a negatively associated process ⋮ On Wavelet Estimation of the Derivatives of a Density Based on Biased Data ⋮ Wavelets for Nonparametric Stochastic Regression with Mixing Stochastic Process ⋮ Wavelet-Based estimation of multivariate regression functions in besov spaces^*

Cites Work

• Propriétés de mélange des processus autorégressifs polynomiaux. (Mixing properties of polynomial autoregressive processes)
• On smoothed probability density estimation for stationary processes
• Geometric ergodicity of Harris recurrent Markov chains with applications to renewal theory
• Density estimation in Besov spaces
• Mixing: Properties and examples
• Optimal asymptotic quadratic error of density estimators for strong mixing or chaotic data
• Kernel density estimation under dependence
• Orthonormal bases of compactly supported wavelets
• Entropy Numbers and Approximation Numbers in Function Spaces, II
• Stability of Markovian processes I: criteria for discrete-time Chains
• Mixing Conditions for Markov Chains
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