scientific article; zbMATH DE number 16742

MaRDI QIDQ3973427zbMATH OpenFDO

Authors Rimantas Rudzkis

Publication date 26 June 1992

zbMATH Keywords

kernel type estimatespectral densitysupremum type normzero mean stationary sequence

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Review text

[For the entire collection see Zbl 0725.00014.] Let \(X_ t\), \(t\in Z^ 1\), be a zero mean stationary sequence with the spectral density \(f(x)\), and let \(\hat f(x)\) be a kernel type estimate of \(f(x)\) based on the sample \(x_ 1,\dots,x_ N\), \(N\to\infty\). The asymptotic behaviour of \[ P(u)={\mathbf P}\{\sup_{x\in K}q(x)| f(x)- \hat f(x)|<u\} \] is considered, where \(K=[x_ 1,x_ 2]\), \(0\leq x_ 1<x_ 2\leq\pi\), is a fixed interval.

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