Root-n consistency in weighted L _1-spaces for density estimators of invertible linear processes
DOI10.1007/S11203-008-9024-5zbMATH Open1204.62151OpenAlexW2065312502MaRDI QIDQ623492FDOQ623492
Authors: Anton Schick, Wolfgang Wefelmeyer 
Publication date: 5 February 2011
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11203-008-9024-5
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kernel estimatorfunctional limit theoremplug-in estimatorinfinite-order autoregressive processinfinite-order moving average processtightness criteria
Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Functional limit theorems; invariance principles (60F17)
Cites Work
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- Root n consistent and optimal density estimators for moving average processes
- Uniformly root-\(n\) consistent density estimators for weakly dependent invertible linear proc\-esses
- Kernel density estimation for linear processes: Asymptotic normality and optimal bandwidth derivation
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- Kernel density estimation for linear processes
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Cited In (16)
- Root n consistent and optimal density estimators for moving average processes
- Recursive estimators of integrated squared density derivatives
- Non standard behavior of density estimators for functions of independent observations
- Convergence in weighted \(L_1\)-norms of convolution estimators for the response density in nonparametric regression
- Improved Density Estimators for Invertible Linear Processes
- Some developments in semiparametric statistics
- Uniformly root-\(n\) consistent density estimators for weakly dependent invertible linear proc\-esses
- Convergence rates in weighted \(L_1\) spaces of kernel density estimators for linear processes
- Online estimation of integrated squared density derivatives
- Estimating the inter-arrival time density of Markov renewal processes under structural assumptions on the transition distribution
- Root-\(n\) consistent density estimators of convolutions in weighted \(L_{1}\)-norms
- Prediction in moving average processes
- Rootnconsistent density estimators for sums of independent random variables
- Efficient density estimation in an AR(1) model
- Uniform convergence of convolution estimators for the response density in nonparametric regression
- Plug-in estimators for higher-order transition densities in autoregression
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