Strong uniform consistency and asymptotic normality of a kernel based error density estimator in functional autoregressive models

DOI10.1007/s11203-012-9065-7zbMath1242.62027arXiv0905.2327OpenAlexW2020082719MaRDI QIDQ438679

Bruno Portier, Nadine Hilgert

Publication date: 31 July 2012

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0905.2327

zbMATH Keywords

martingale approachkernel density estimationfunctional autoregressive modelsmultivariate central limit theoremnonparametric residuals

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Central limit and other weak theorems (60F05)

Related Items

Law of the iterated logarithm for error density estimators in nonlinear autoregressive models ⋮ Revisiting the estimation of the error density in functional autoregressive models ⋮ Separation theorem for independent subspace analysis and its consequences ⋮ Change detection for uncertain autoregressive dynamic models through nonparametric estimation

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