Asymptotic distributions of error density estimators in first-order autoregressive models

zbMATH Open1193.62017MaRDI QIDQ3580533FDOQ3580533

Authors: Fuxia Cheng 

Publication date: 13 August 2010

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zbMATH Keywords

residualskernel density estimation\(AR(1)\) process

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cited In (18)

• Oracally efficient estimation of autoregressive error distribution with simultaneous confidence band
• Asymptotics of kernel error density estimators in nonlinear autoregressive models
• Asymptotics of the \(L_p\)-norms of density estimators in the first-order autoregressive models.
• Revisiting the estimation of the error density in functional autoregressive models
• Strong uniform consistency and asymptotic normality of a kernel based error density estimator in functional autoregressive models
• Improved density and distribution function estimation
• Global property of error density estimation in nonlinear autoregressive time series models
• Glivenko-Cantelli theorem for the kernel error distribution estimator in the first-order autoregressive model
• Convergence in distribution for the sup-norm of a kernel density estimator for GARCH inno\-va\-tions
• Errors estimation and the asymptotic distribution of probabilistic estimates
• Empirical likelihood inference for error density estimators in first-order autoregression models
• Asymptotic results of error density estimator in nonlinear autoregressive models
• Title not available (Why is that?)
• Asymptotics of the \(L_p\)-norms of density estimators in the first-order autoregressive models.
• Asymptotic normality of residual density estimator in stationary and explosive autoregressive models
• A sharp analysis on the asymptotic behavior of the Durbin–Watson statistic for the first-order autoregressive process
• Asymptotic normality of error density estimator in stationary and explosive autoregressive models
• Law of the iterated logarithm for error density estimators in nonlinear autoregressive models

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