On the asymptotic variance of the continuous-time kernel density estimator

DOI10.1016/S0167-7152(98)00297-1zbMath0947.62030MaRDI QIDQ1962167

Martin Sköld, Ola G. Hössjer

Publication date: 1999

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

zbMATH Keywords

kernel estimationstationary process

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: estimation (62M09) Stationary stochastic processes (60G10)

Related Items (5)

Local Hölder exponent estimation for multivariate continuous time processes ⋮ Assessing the number of mean square derivatives of a Gaussian process ⋮ Adaptive sampling schemes for density estimation ⋮ Optimal sampling for density estimation in continuous time ⋮ Improving density estimators of discretely observed processes by interpolation

Cites Work

• Unnamed Item
• On smoothed probability density estimation for stationary processes
• Optimal convergence properties of variable knot, kernel, and orthogonal series methods for density estimation
• Level crossings of a stochastic process with absolutely continuous sample paths
• Accurate rates of density estimators for continuous-time processes
• Nonparametric statistics for stochastic processes
• Efficient density estimation for ergodic diffusion processes
• Occupation times for smooth stationary processes
• Moment bounds for stationary mixing sequences

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