On density estimation from ergodic processes

DOI10.1214/aop/1022855650zbMath0932.62042OpenAlexW2167597140MaRDI QIDQ1307505

Terrence M. Adams, Andrew B. Nobel

Publication date: 1 February 2000

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

Full work available at URL: https://doi.org/10.1214/aop/1022855650

zbMATH Keywords

density estimationcounter exampleergodic processescutting and stacking

Mathematics Subject Classification ID

Density estimation (62G07) Stationary stochastic processes (60G10) Sample path properties (60G17)

Related Items (10)

Bias reduction by transformed flat-top Fourier series estimator of density on compact support ⋮ Hypothesis testing for families of ergodic processes ⋮ Prediction of dynamical time series using kernel based regression and smooth splines ⋮ Discrimination between B-processes is impossible ⋮ Limits to classification and regression estimation from ergodic processes ⋮ Adaptive bandwidth choice ⋮ Design adaptive nearest neighbor regression estimation ⋮ Nearest neighbor classification with dependent training sequences. ⋮ Unnamed Item ⋮ On sequential nearest neighbour regression estimation

Cites Work

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• Kernel density estimation from ergodic sample is not universally consistent
• The L/sub 1/ and L/sub 2/ strong consistency of recursive kernel density estimation from dependent samples
• Cutting and stacking: a method for constructing stationary processes
• Density estimation from an individual numerical sequence

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