Uniformly root-n consistent density estimators for weakly dependent invertible linear processes
نویسندگان
چکیده
منابع مشابه
Uniformly Root-n Consistent Density Estimators for Weakly Dependent Invertible Linear Processes
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. Our estimator is a convolution of two different residual-based kernel estimators. We obtain in particular convergence rates for such residual-based kernel estimat...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2007
ISSN: 0090-5364
DOI: 10.1214/009053606000001352