On the estimation of the marginal density of a moving average process

DOI10.2307/3315917zbMath0966.62022OpenAlexW2130364138MaRDI QIDQ2714931

Ángeles Saavedra, Ricardo Cao

Publication date: 17 August 2001

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/b3e6f9c3cca16a606a01b443a243e9106c812c83

zbMATH Keywords

mean squared errortime serieskernel methodmean integrated squared errorMSEMISEMA processes

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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Uses Software

• KernSmooth

Cites Work

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