Density estimation under long-range dependence

DOI10.1214/AOS/1176324632zbMath0843.62037OpenAlexW1989327906MaRDI QIDQ1906197

Jan Mielniczuk, Sándor Csörgö

Publication date: 22 August 1996

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

Full work available at URL: https://doi.org/10.1214/aos/1176324632

zbMATH Keywords

derivativefunctional laws of the iterated logarithmHermite polynomialsempirical processkernel density estimatorsGaussian subordinationdensity processmarginal densitydegenerate limiting processeslong-range dependent stationary sequenceweak convergence in supremum norm

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Inference from stochastic processes (62M99) Functional limit theorems; invariance principles (60F17)

Related Items (25)

Local linear regression estimation for time series with long-range dependence ⋮ Asymptotics of empirical processes of long memory moving averages with infinite variance. ⋮ On nonparametric ridge estimation for multivariate long-memory processes ⋮ Asymptotic normality of kernel type density estimators for random fields ⋮ On nonparametric density estimation for multivariate linear long-memory processes ⋮ Conditional variance estimation in regression models with long memory ⋮ Limit theorems for functionals of moving averages ⋮ Kernel estimation for time series: an asymptotic theory ⋮ Nonparametric deconvolution problem for dependent sequences ⋮ A general asymptotic scheme for inference under order restrictions ⋮ Kernel type smoothed quantile estimation under long memory ⋮ Limit properties of the monotone rearrangement for density and regression function estimation ⋮ How the instability of ranks under long memory affects large-sample inference ⋮ Kernel density estimation for linear processes ⋮ Strong invariance principles for sequential Bahadur-Kiefer and Vervaat error processes of long-range dependent sequences ⋮ On estimating the cumulant generating function of linear processes ⋮ Nonparametric density estimation for linear processes with infinite variance ⋮ Wilcoxon-Signed Rank Test for Long Memory Sequences ⋮ Practically applicable central limit theorem for spatial statistics ⋮ Asymptotic properties of nonparametric regression for long memory random fields ⋮ Long- and short-range dependent sequences under exponential subordination ⋮ Optimal convergence rates in non-parametric regression with fractional time series errors ⋮ Effect of dependence on stochastic measures of accuracy of density estimators ⋮ Central limit theorem for the empirical process of a linear sequence with long memory ⋮ Testing for the expected number of exceedances in strongly dependent seasonal time series

This page was built for publication: Density estimation under long-range dependence