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

DOI10.1016/J.JMVA.2015.07.014MaRDI QIDQ893165zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• Q3999154 scientific article; zbMATH DE number 48093 (Why is no real title available?)
• A goodness-of-fit test of the errors in nonlinear autoregressive time series models
• Estimating the density of the residuals in autoregressive models
• Global property of error density estimation in nonlinear autoregressive time series models
• Nonlinear time series. Nonparametric and parametric methods
• On conditional least squares estimation for stochastic processes
• On some global measures of the deviations of density function estimates
• Weighted sums of certain dependent random variables

Cited in

(8)

• Asymptotic normality of residual density estimator in stationary and explosive autoregressive models
• scientific article; zbMATH DE number 775742 (Why is no real title available?)
• STRONG CONSISTENCY AND ASYMPTOTIC NORMALITY OF /1 ESTIMATES OF THE AUTOREGRESSIVE MOVING-AVERAGE MODEL
• Extended Glivenko-Cantelli theorem in nonparametric regression
• Law of the iterated logarithm for error density estimators in nonlinear autoregressive models
• Asymptotic normality of error density estimator in stationary and explosive autoregressive models
• Asymptotic results of error density estimator in nonlinear autoregressive models
• Glivenko-Cantelli theorem for the kernel error distribution estimator in the first-order autoregressive model

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