Marginal density estimation for linear processes with cyclical long memory

DOI10.1016/J.SPL.2011.04.010zbMATH Open1218.62085arXiv1012.5278OpenAlexW2087790445MaRDI QIDQ553086FDOQ553086

Authors: M. Ould Haye, Anne Philippe 

Publication date: 26 July 2011

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

Abstract: Some convergence results on the kernel density estimator are proven for a class of linear processes with cyclical effects. In particular we extend the results of Ho and Hsing (1996a) and Mielniczuk (1997) to the stationary processes for which the singularities of the spectral density are not limited to the origin. We show that the convergence rates and the limit distribution may be different in this context.

Full work available at URL: https://arxiv.org/abs/1012.5278

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zbMATH Keywords

confidence bandempirical processlimit theoremmean integrated squared error

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09)

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Cited In (2)

• On estimating the marginal distribution of a detrended series with long memory
• Cyclical long memory: decoupling, modulation, and modeling

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