Uniformly root-n consistent density estimators for weakly dependent invertible linear proc\-esses

DOI10.1214/009053606000001352zbMATH Open1117.62036arXiv0708.1913OpenAlexW3102354691MaRDI QIDQ995428FDOQ995428

Authors: Anton Schick, Wolfgang Wefelmeyer 

Publication date: 3 September 2007

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: Convergence rates of kernel density estimators for stationary time series are well studied. For invertible linear processes, we construct a new density estimator that converges, in the supremum norm, at the better, parametric, rate $n^{-1/2}$. Our estimator is a convolution of two different residual-based kernel estimators. We obtain in particular convergence rates for such residual-based kernel estimators; these results are of independent interest.

Full work available at URL: https://arxiv.org/abs/0708.1913

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• scientific article; zbMATH DE number 4106050

zbMATH Keywords

kernel estimatorfunctional limit theoremleast squares estimatorplug-in estimatorinfinite-order autoregressive processinfinite-order moving average process

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

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Cited In (25)

• \(\sqrt{n}\)-consistent density estimation in semiparametric regression models
• Root n consistent and optimal density estimators for moving average processes
• Bootstrap with larger resample size for root-\(n\) consistent density estimation with time series data
• Recursive estimators of integrated squared density derivatives
• Estimating the density of a possibly missing response variable in nonlinear regression
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• Some developments in semiparametric statistics
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• Estimating the inter-arrival time density of Markov renewal processes under structural assumptions on the transition distribution
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• Density estimation for nonlinear parametric models with conditional heteroscedasticity
• Plug-in estimators for higher-order transition densities in autoregression

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