Root n consistent and optimal density estimators for moving average processes
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Publication:4828227
DOI10.1111/j.1467-9469.2004.00373.xzbMath1053.62045OpenAlexW2165405237MaRDI QIDQ4828227
Wolfgang Wefelmeyer, Anton Schick
Publication date: 24 November 2004
Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9469.2004.00373.x
Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)
Related Items (22)
Estimating invariant laws of linear processes by \(U\)-statistics. ⋮ A Convolution Estimator for the Density of Nonlinear Regression Observations ⋮ \(\sqrt{n}\)-consistent density estimation in semiparametric regression models ⋮ Efficient prediction for linear and nonlinear autoregressive models ⋮ Root-\(n\) consistent estimation of the marginal density in semiparametric autoregressive time series models ⋮ Root-\(n\) consistency in weighted \(L _{1}\)-spaces for density estimators of invertible linear processes ⋮ Estimating the density of a possibly missing response variable in nonlinear regression ⋮ Efficient density estimation in an AR(1) model ⋮ Uniform convergence of convolution estimators for the response density in nonparametric regression ⋮ Online estimation of integrated squared density derivatives ⋮ Asymptotics of the Theil–Sen estimator in the simple linear regression model with a random covariate ⋮ Prediction in moving average processes ⋮ Rootnconsistent density estimators for sums of independent random variables ⋮ Consistency and asymptotic distribution of the Theil-Sen estimator ⋮ Functional convergence and optimality of plug-in estimators for stationary densities of moving average processes ⋮ Some developments in semiparametric statistics ⋮ Uniformly root-\(n\) consistent density estimators for weakly dependent invertible linear proc\-esses ⋮ Recursive estimators of integrated squared density derivatives ⋮ \(\sqrt{n}\)-uniformly consistent density estimation in nonparametric regression models ⋮ Improved Density Estimators for Invertible Linear Processes ⋮ Plug-in estimators for higher-order transition densities in autoregression ⋮ Non Standard Behavior of Density Estimators for Functions of Independent Observations
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