Estimation of the innovation quantile density function of an \(AR(p)\) process based on autoregression quantiles

zbMath0995.62086MaRDI QIDQ1611504

Faouzi El Bantli, Marc Hallin

Publication date: 21 August 2002

Published in: Bernoulli (Search for Journal in Brave)

zbMATH Keywords

kernel estimatorautoregressionautoregression quantilesBahadur-Kiefer representationhistogram estimatorsparsity functionquantile desity

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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