Asymptotic normality of the mixture density estimator in a disaggregation scheme

DOI10.1080/10485250903045528MaRDI QIDQ3569212zbMATH OpenOpenAlexFDO

Authors Dmitrij Celov, Remigijus Leipus, Anne Philippe

Publication date 18 June 2010

Published in Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0802.0817

zbMATH Keywords

aggregationdisaggregationlong memorymixture densityrandom coefficient \(\mathrm{AR}(1)\)

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Abstract: The paper concerns the asymptotic distribution of the mixture density estimator, proposed by Oppenheim et al 2006, in the aggregation/disaggregation problem of random parameter AR(1) process. We prove that, under mild conditions on the (semiparametric) form of the mixture density, the estimator is asymptotically normal. The proof is based on the limit theory for the quadratic form in linear random variables developed by Bhansali et al 2007. The moving average representation of the aggregated process is investigated. A small simulation study illustrates the result.

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Cites work

• Aggregation of random parameters Ornstein‐Uhlenbeck or AR processes: some convergence results
• Approximations and limit theory for quadratic forms of linear processes
• Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
• Contemporaneous aggregation of GARCH processes
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• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
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Cited in

(10)

• Asymptotic behavior of weakly dependent aggregated processes
• Sample covariances of random-coefficient AR(1) panel model
• Nonparametric estimation of the distribution of the autoregressive coefficient from panel random-coefficient AR(1) data
• Orthogonal series density estimation in a disaggregation scheme
• Limit theorems for aggregated linear processes
• Contemporaneous aggregation of triangular array of random-coefficient AR(1) processes
• Asymptotic normality in mixture models
• Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes with infinite variance
• Estimating long memory in panel random-coefficient AR(1) data
• Asymptotic distribution of normalized maximum under finite mixture models

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