Strong consistency of the distribution estimator in the nonlinear autoregressive time series

DOI10.1016/j.jmva.2015.07.014zbMath1343.62056OpenAlexW1171095641MaRDI QIDQ893165

Fuxia Cheng

Publication date: 13 November 2015

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2015.07.014

zbMATH Keywords

stationary processstrong consistencyresidualsGlivenko-Cantelli theoremdistribution estimatornonlinear autoregressive time series

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Stationary stochastic processes (60G10) Strong limit theorems (60F15)

Related Items (2)

Law of the iterated logarithm for error density estimators in nonlinear autoregressive models ⋮ Asymptotic normality of residual density estimator in stationary and explosive autoregressive models

Cites Work

• Unnamed Item
• Global property of error density estimation in nonlinear autoregressive time series models
• On conditional least squares estimation for stochastic processes
• Estimating the density of the residuals in autoregressive models
• Nonlinear time series. Nonparametric and parametric methods
• On some global measures of the deviations of density function estimates
• A goodness-of-fit test of the errors in nonlinear autoregressive time series models
• Weighted sums of certain dependent random variables

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