Uniformly root-n consistent density estimators for weakly dependent invertible linear proc\-esses
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Uniformly root-\(n\) consistent density estimators for weakly dependent invertible linear proc\-esses
Uniformly root-\(n\) consistent density estimators for weakly dependent invertible linear proc\-esses
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 . 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.
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- scientific article; zbMATH DE number 4106050
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- Density estimation for linear processes
- Density estimation in \(\mathbb{L}^\infty\) norm for mixing processes
- Estimating Densities of Functions of Observations
- Estimating the density of the residuals in autoregressive models
- Functional convergence and optimality of plug-in estimators for stationary densities of moving average processes
- Functional estimation for time series: Uniform convergence properties
- Functional estimation of a density under a new weak dependence condition
- Kernel density estimation for linear processes
- Kernel density estimation for linear processes
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- Multivariate probability density estimation by wavelet methods: Strong consistency and rates for stationary time series
- Multivariate probability density estimation for associated processes: Strong consistency and rates.
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- Rate of convergence of a convolution-type estimator of the marginal density of a MA(1) process
- Recursive density estimation under dependence
- Recursive kernel density estimators under a weak dependence condition
- Recursive probability density estimation for weakly dependent stationary processes
- Root n consistent and optimal density estimators for moving average processes
- Root-\(n\) consistent density estimators of convolutions in weighted \(L_{1}\)-norms
- Rootnconsistent density estimators for sums of independent random variables
- TIME SERIES RESIDUALS WITH APPLICATION TO PROBABILITY DENSITY ESTIMATION
- Uniform strong estimation under \(\alpha\)-mixing, with rates
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- \(\sqrt{n}\)-consistent density estimation in semiparametric regression models
- Bootstrap with larger resample size for root-\(n\) consistent density estimation with time series data
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- Estimating the density of a possibly missing response variable in nonlinear regression
- Asymptotic normality of Powell's kernel estimator
- Non standard behavior of density estimators for functions of independent observations
- Improved Density Estimators for Invertible Linear Processes
- \(\sqrt{n}\)-uniformly consistent density estimation in nonparametric regression models
- Some developments in semiparametric statistics
- Rate of convergence of a convolution-type estimator of the marginal density of a MA(1) process
- Square consistency of kernel density estimation for linear process errors
- Online estimation of integrated squared density derivatives
- Root-\(n\) consistency in weighted \(L _{1}\)-spaces for density estimators of invertible linear processes
- Estimating the inter-arrival time density of Markov renewal processes under structural assumptions on the transition distribution
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- A convolution estimator for the density of nonlinear regression observations
- Root-\(T\) consistent density estimation in GARCH models
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- Parametric and nonparametric models and methods in financial econometrics
- Asymptotic Distributions of Innovation Density Estimators in Linear Processes
- Root-\(n\) consistent estimation of the marginal density in semiparametric autoregressive time series models
- Uniform convergence of convolution estimators for the response density in nonparametric regression
- Density estimation for nonlinear parametric models with conditional heteroscedasticity
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