Kernel density estimation for linear processes

DOI10.1016/0304-4149(92)90128-DzbMath0758.62022OpenAlexW1972637728MaRDI QIDQ5905553

Lanh Tat Tran

Publication date: 16 January 1993

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(92)90128-d

zbMATH Keywords

rate of convergenceuniform convergencecharacteristic functioninnovation processkernel estimatoruniform distancebandwidthsfirst order autoregressive processesliner process

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) General nonlinear regression (62J02) Markov processes: estimation; hidden Markov models (62M05)

Related Items (19)

Estimating invariant laws of linear processes by \(U\)-statistics. ⋮ On the strong uniform consistency of density estimation for strongly dependent sequences ⋮ Kernel density estimation for linear processes: Asymptotic normality and optimal bandwidth derivation ⋮ Prediction in invertible linear processes ⋮ Multivariate probability density estimation by wavelet methods: Strong consistency and rates for stationary time series ⋮ On histograms for linear processes ⋮ Root-\(n\) consistency in weighted \(L _{1}\)-spaces for density estimators of invertible linear processes ⋮ Efficient density estimation in an AR(1) model ⋮ Pointwise convergence rates and central limit theorems for kernel density estimators in linear processes ⋮ Stationary bootstrap for kernel density estimators under \(\psi\)-weak dependence ⋮ Asymptotic Distributions of Innovation Density Estimators in Linear Processes ⋮ Some automated methods of smoothing time-dependent data ⋮ Kernel density estimation for spatial processes: The \(L_{1}\) theory ⋮ Functional convergence and optimality of plug-in estimators for stationary densities of moving average processes ⋮ Kernel density estimation for linear processes ⋮ Uniformly root-\(n\) consistent density estimators for weakly dependent invertible linear proc\-esses ⋮ Asymptotic behaviour of binned kernel density estimators for locally non-stationary random fields ⋮ Weak dependence beyond mixing and asymptotics for nonparametric regression ⋮ Estimators in step regression models

Cites Work

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• TIME SERIES RESIDUALS WITH APPLICATION TO PROBABILITY DENSITY ESTIMATION
• Remarks on Some Nonparametric Estimates of a Density Function
• NONPARAMETRIC ESTIMATORS FOR TIME SERIES
• Nonparametric Density Estimation, Prediction, and Regression for Markov Sequences
• Recursive probability density estimation for weakly dependent stationary processes
• On the Strong Mixing Property for Linear Sequences
• Analysis 3: Who made the call? Classification based on logistic regression and trees
• Recursive density estimation under dependence
• Nonparametric Probability Density Estimation: I. A Summary of Available Methods
• On Estimation of a Probability Density Function and Mode

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