Glivenko-Cantelli theorem for the kernel error distribution estimator in the first-order autoregressive model
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Publication:1642436
DOI10.1016/j.spl.2018.03.018zbMath1392.62136OpenAlexW2797270363MaRDI QIDQ1642436
Publication date: 20 June 2018
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2018.03.018
Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)
Related Items (1)
Asymptotic normality of residual density estimator in stationary and explosive autoregressive models
Cites Work
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- On the Bickel-Rosenblatt test for first-order autoregressive models
- Nonlinear time series. Nonparametric and parametric methods
- Bahadur-Kiefer representations for GM-estimators in autoregression models
- On some global measures of the deviations of density function estimates
- Weighted sums of certain dependent random variables
- A note on the Bickel\,-\,Rosenblatt test in autoregressive time series
- Asymptotics of the \(L_p\)-norms of density estimators in the first-order autoregressive models.
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