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

DOI10.1016/J.JMVA.2015.07.014zbMATH Open1343.62056OpenAlexW1171095641MaRDI QIDQ893165FDOQ893165

Authors: 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

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zbMATH Keywords

residualsstrong consistencystationary processGlivenko-Cantelli theoremdistribution estimatornonlinear autoregressive time series

Mathematics Subject Classification ID

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

Cites Work

• Nonlinear time series. Nonparametric and parametric methods
• On some global measures of the deviations of density function estimates
• Title not available (Why is that?)
• On conditional least squares estimation for stochastic processes
• Weighted sums of certain dependent random variables
• Estimating the density of the residuals in autoregressive models
• Global property of error density estimation in nonlinear autoregressive time series models
• A goodness-of-fit test of the errors in nonlinear autoregressive time series models

Cited In (8)

• Extended Glivenko-Cantelli theorem in nonparametric regression
• Glivenko-Cantelli theorem for the kernel error distribution estimator in the first-order autoregressive model
• STRONG CONSISTENCY AND ASYMPTOTIC NORMALITY OF /1 ESTIMATES OF THE AUTOREGRESSIVE MOVING-AVERAGE MODEL
• Asymptotic results of error density estimator in nonlinear autoregressive models
• Asymptotic normality of residual density estimator in stationary and explosive autoregressive models
• Title not available (Why is that?)
• Asymptotic normality of error density estimator in stationary and explosive autoregressive models
• Law of the iterated logarithm for error density estimators in nonlinear autoregressive models

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