Asymptotic Distributions of Innovation Density Estimators in Linear Processes

DOI10.1080/03610920701877586zbMath1143.62013OpenAlexW1976494205MaRDI QIDQ3526080

Zheng Yan Lin, Caiya Zhang, Xin Mei Shen

Publication date: 24 September 2008

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920701877586

zbMATH Keywords

kernel density estimationresidualsinfinite-order autoregressive processinfinite-order moving average process

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cites Work

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• Convergence rates in density estimation for data from infinite-order moving average processes
• Uniformly root-\(n\) consistent density estimators for weakly dependent invertible linear proc\-esses
• Complete convergence of moving average processes under dependence assumptions
• Kernel density estimation for linear processes: Asymptotic normality and optimal bandwidth derivation
• On some global measures of the deviations of density function estimates
• Weighted sums of certain dependent random variables
• On Estimation of a Probability Density Function and Mode
• Kernel density estimation for linear processes
• Kernel density estimation for linear processes

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