Nonparametric density estimation for linear processes with infinite variance
DOI10.1007/S10463-007-0149-XzbMATH Open1332.62123OpenAlexW2100560579MaRDI QIDQ730761FDOQ730761
Publication date: 30 September 2009
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
Full work available at URL: http://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/16959/070econDP05-13.pdf
kernel density estimatorstable distributiondomain of attractionlinear processesmartingale central limit theoremnoncentral limit theorem
Infinitely divisible distributions; stable distributions (60E07) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)
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Cited In (8)
- Title not available (Why is that?)
- On nonparametric density estimation for multivariate linear long-memory processes
- Nonparametric regression for dependent data in the errors-in-variables problem
- Title not available (Why is that?)
- Nonlinear principal components. I: Absolutely continuous random variables with positive bounded densities
- Nonparametric quantile regression with heavy-tailed and strongly dependent errors
- Sampling distribution for a class of estimators for nonregular linear processes
- Nonstationarity in time series of state densities
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