Asymptotics of the \(L_p\)-norms of density estimators in the first-order autoregressive models.

DOI10.1016/j.spl.2003.06.007zbMath1104.62034OpenAlexW4256402930MaRDI QIDQ1423022

Ričardas Zitikis, Lajos Horváth

Publication date: 14 February 2004

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2003.06.007

zbMATH Keywords

AR(1) processesStationary processesResiduals\(L_p\)-norms

Mathematics Subject Classification ID

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

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Law of the iterated logarithm for error density estimators in nonlinear autoregressive models ⋮ On the weak convergence of kernel density estimators inL^pspaces ⋮ Asymptotic normality of residual density estimator in stationary and explosive autoregressive models ⋮ Asymptotic of theL_r-norm of density estimators in the autoregressive time series ⋮ Asymptotics of $L_\lambda$ -Norms of ARCH(p) Innovation Density Estimators ⋮ On the Bickel–Rosenblatt test of goodness-of-fit for the residuals of autoregressive processes ⋮ TESTING GOODNESS OF FIT BASED ON DENSITIES OF GARCH INNOVATIONS

Cites Work

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