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

DOI10.1016/J.SPL.2024.110215MaRDI QIDQ6606022FDOQ6606022

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

• Analytic Inequalities
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• An Estimate Concerning the Kolmogroff Limit Distribution
• CONVERGENCE RATES OF ESTIMATORS IN PARTIAL LINEAR REGRESSION MODELS WITH MA(∞) ERROR PROCESS
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• The law of the iterated logarithm for \(L_ p\)-norms of empirical processes
• Oracally efficient estimation of autoregressive error distribution with simultaneous confidence band
• Bahadur-Kiefer representations for GM-estimators in autoregression models
• Glivenko-Cantelli theorem for the kernel error distribution estimator in the first-order autoregressive model
• The law of the iterated logarithm and maximal smoothing principle for the kernel distribution function estimator

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