Nonparametric density estimation for positive time series

DOI10.1016/J.CSDA.2009.08.016zbMATH Open1464.62033OpenAlexW1988722509MaRDI QIDQ962247FDOQ962247

Taoufik Bouezmarni, Jeroen V. K. Rombouts

Publication date: 6 April 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://www.hec.ca/iea/cahiers/2006/iea0609_jrombouts.pdf

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Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited In (15)

• Optimal futures hedging strategies based on an improved kernel density estimation method
• New approaches to nonparametric density estimation and selection of smoothing parameters
• Asymptotic properties of Dirichlet kernel density estimators
• Time series joins, motifs, discords and shapelets: a unifying view that exploits the matrix profile
• Nonparametric estimation of multivariate density and its derivative by dependent data using gamma kernels
• Recursive asymmetric kernel density estimation for nonnegative data
• Generalized Birnbaum-Saunders kernel density estimators and an analysis of financial data
• Nonparametric kernel density estimation near the boundary
• A review of uncertainty quantification for density estimation
• Density estimation for time series by histograms
• Asymptotic normality of the MLE in the level-effect ARCH model
• Stable Nonparametric Signal Filtration in Nonlinear Models
• A symmetric matrix-variate normal local approximation for the Wishart distribution and some applications
• Nonparametric density estimation for multivariate bounded data
• Family of the generalised gamma kernels: a generator of asymmetric kernels for nonnegative data

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