The integrated absolute error of the kernel error distribution estimator in the first-order autoregression model

DOI10.1016/J.SPL.2024.110215MaRDI QIDQ6606022zbMATH OpenFDO

Authors Fuxia Cheng

Publication date 16 September 2024

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

zbMATH Keywords

residualskernel estimatorautoregressive models\(L_1\)-normLIL

Mathematics Subject Classification ID

Nonparametric estimation (62G05) (L^p)-limit theorems (60F25)

Cites work

• scientific article; zbMATH DE number 3436465 (Why is no real title available?)
• scientific article; zbMATH DE number 3107305 (Why is no real title available?)
• An Estimate Concerning the Kolmogroff Limit Distribution
• Analytic Inequalities
• Bahadur-Kiefer representations for GM-estimators in autoregression models
• CONVERGENCE RATES OF ESTIMATORS IN PARTIAL LINEAR REGRESSION MODELS WITH MA(∞) ERROR PROCESS
• Glivenko-Cantelli theorem for the kernel error distribution estimator in the first-order autoregressive model
• Oracally efficient estimation of autoregressive error distribution with simultaneous confidence band
• The law of the iterated logarithm and maximal smoothing principle for the kernel distribution function estimator
• The law of the iterated logarithm for \(L_ p\)-norms of empirical processes

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