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

DOI10.1007/S11203-012-9065-7zbMATH Open1242.62027arXiv0905.2327OpenAlexW2020082719MaRDI QIDQ438679FDOQ438679

Bruno Portier, Nadine Hilgert

Publication date: 31 July 2012

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

Abstract: Estimating the innovation probability density is an important issue in any regression analysis. This paper focuses on functional autoregressive models. A residual-based kernel estimator is proposed for the innovation density. Asymptotic properties of this estimator depend on the average prediction error of the functional autoregressive function. Sufficient conditions are studied to provide strong uniform consistency and asymptotic normality of the kernel density estimator.

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

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zbMATH Keywords

kernel density estimationmartingale approachfunctional autoregressive modelsmultivariate central limit theoremnonparametric residuals

Mathematics Subject Classification ID

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

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Cited In (4)

• 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
• Law of the iterated logarithm for error density estimators in nonlinear autoregressive models

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