The ARMA method of approximating probability density functions

DOI10.1016/0378-3758(85)90063-1MaRDI QIDQ1068482zbMATH OpenOpenAlexFDO

Authors J. D. Hart, Henry L. Gray

Publication date 1985

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0378-3758(85)90063-1

zbMATH Keywords

approximating probability density functionsARMA approximatorsautoregressive moving average (ARMA) time seriesdensity estimatione sub n transformintegrated squared errorsrational representing functions of the spectrumtruncated Fourier series approximators

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Statistical distribution theory (62E99) Nonparametric estimation (62G05)

Review text

A new method of approximating probability density functions is proposed. The method uses rational representing functions of the spectrum of an autoregressive moving average (ARMA) time series. Conditions are given under which certain ARMA approximators have essentially smaller integrated squared errors than truncated Fourier series approximators. Several examples illustrating the improved performance of ARMA, over Fourier series, approximators are considered.

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Cited in

(1)

• An ARMA type probability density estimator

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