Bootstrap with larger resample size for root-\(n\) consistent density estimation with time series data

DOI10.1016/j.spl.2011.02.008zbMath1213.62138MaRDI QIDQ534421

Dimitris N. Politis, Christopher C. Chang

Publication date: 17 May 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.02.008

zbMATH Keywords

kernel function; moving average process; nonlinear autoregressive process; convolution estimator

Mathematics Subject Classification ID

62G07: Density estimation

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G09: Nonparametric statistical resampling methods

Related Items

Root-\(T\) consistent density estimation in GARCH models, A Convolution Estimator for the Density of Nonlinear Regression Observations

Uses Software

• KernSmooth
• bootstrap
• bootlib

Cites Work

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• Remarks on Some Nonparametric Estimates of a Density Function
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• Properties of the nonparametric autoregressive bootstrap
• On Estimation of a Probability Density Function and Mode