On the integrated mean squared error of wavelet density estimation for linear processes

DOI10.1007/S11203-022-09281-9arXiv2211.09594MaRDI QIDQ6166014FDOQ6166014

Authors: Aleksandr Beknazaryan, Hailin Sang, Peter Adamic 

Publication date: 6 July 2023

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

Abstract: Let $X_n:ninN$ be a linear process with density function $f(x)in{L}^2(R)$. We study wavelet density estimation of $f(x)$. Under some regular conditions on the characteristic function of innovations, we achieve, based on the number of nonzero coefficients in the linear process, the minimax optimal convergence rate of the integrated mean squared error of density estimation. Considered wavelets have compact support and are twice continuously differentiable. The number of vanishing moments of mother wavelet is proportional to the number of nonzero coefficients in the linear process and to the rate of decay of characteristic function of innovations. Theoretical results are illustrated by simulation studies with innovations following Gaussian, Cauchy and chi-squared distributions.

Full work available at URL: https://arxiv.org/abs/2211.09594

zbMATH Keywords

density estimationprojection operatorlinear processwavelet method

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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