Nonparametric estimation in time series with measurement errors
Let \(\{X_j\}\), \(j\geq 1\), be a stationary sequence of real-valued random variables (r.v.'s), and for each integer \(p\geq 1\), let \(f({\mathbf x})= f(x_1,\dots, x_p)\) be the joint probability density function (p.d.f.) of the r.v.'s \(X_1,\dots, X_p\). Consider the deconvolution problem \(Y_j= X_j+ \varepsilon_j\), where the (noise) process \(\{\varepsilon_j\}\), \(j\geq 1\), consists of i.i.d. r.v.'s independent of the process \(\{X_j\}\), \(j\geq 1\), with known density \(\widetilde{g}({\mathbf x})\). Then the joint density function of \(Y_1,\dots, Y_p\) is given by the multidimensional convolution \[ f_Y({\mathbf x})= \int_{\mathbb{R}^p} f({\mathbf x}-{\mathbf u}) g({\mathbf u})d{\mathbf u}, \quad\text{where}\quad g({\mathbf u})= \prod_{j=1}^p \widetilde{g} (u_j). \] We are interested in estimating nonparametrically the joint cumulative distribution function (c.d.f.) of the r.v.'s \(X_1,\dots, X_p\), \(F({\mathbf x})= F(x_1,\dots, x_p)\), on the basis of the r.v.'s \(Y_1,\dots, Y_n\), where it is assumed that \(p<n\).
- Deconvolving cumulative density from associated random processes
- Multivariate probability density deconvolution for stationary random processes
- Estimating the distribution function of a stationary process involving measurement errors
- Strong consistency and rates for deconvolution of multivariate densities of stationary processes
- Deconvolution of cumulative distribution function with unknown noise distribution
- A consistent nonparametric density estimator for the deconvolution problem
- A uniform bound for the deviation of empirical distribution functions
- Asymptotic normality for deconvolution estimators of multivariate densities of stationary processes
- Consistent deconvolution in density estimation
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- Moment inequalities for mixing sequences of random variables
- Multivariate probability density deconvolution for stationary random processes
- Multivariate regression estimation with errors-in-variables for stationary processes
- Multivariate regression estimation with errors-in-variables: Asymptotic normality for mixing processes
- Nonparametric regression with errors in variables
- On Non-Parametric Estimates of Density Functions and Regression Curves
- On the Estimation of Gaussian Convolution Probability Density
- On the optimal rates of convergence for nonparametric deconvolution problems
- Optimal Rates of Convergence for Deconvolving a Density
- Strong consistency and rates for deconvolution of multivariate densities of stationary processes
- The estimation of a probability density function from measurements corrupted by Poisson noise (Corresp.)
- Estimating measurement noise in a time series by exploiting nonstationarity
- Using Difference-Based Methods for Inference in Nonparametric Regression with Time Series Errors
- Deconvolving cumulative density from associated random processes
- Estimating the distribution function of a stationary process involving measurement errors
- Deconvolution of ℙ( X t < Y t ) for stationary processes with supersmooth error distributions
- Nonparametric curve estimation with time series errors
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