Asymptotic normality of the mixture density estimator in a disaggregation scheme

DOI10.1080/10485250903045528zbMath1282.62086arXiv0802.0817OpenAlexW2009644357MaRDI QIDQ3569212

Remigijus Leipus, Dmitrij Celov, Anne Philippe

Publication date: 18 June 2010

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

Full work available at URL: https://arxiv.org/abs/0802.0817

zbMATH Keywords

aggregationdisaggregationlong memorymixture densityrandom coefficient \(\mathrm{AR}(1)\)

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Economic time series analysis (91B84)

Related Items (7)

Nonparametric estimation of the distribution of the autoregressive coefficient from panel random-coefficient AR(1) data ⋮ CONTEMPORANEOUS AGGREGATION OF TRIANGULAR ARRAY OF RANDOM-COEFFICIENT AR(1) PROCESSES ⋮ Asymptotic behavior of weakly dependent aggregated processes ⋮ Estimating Long Memory in Panel Random‐Coefficient AR(1) Data ⋮ Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes with infinite variance ⋮ Sample covariances of random-coefficient AR(1) panel model ⋮ Limit Theorems for Aggregated Linear Processes

Cites Work

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• Approximations and limit theory for quadratic forms of linear processes
• Long memory relationships and the aggregation of dynamic models
• Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
• Contemporaneous aggregation of linear dynamic models in large economies
• Orthogonal series density estimation in a disaggregation scheme
• Aggregation of random parameters Ornstein‐Uhlenbeck or AR processes: some convergence results
• Contemporaneous aggregation of GARCH processes
• The polynomial aggregated AR(1) model*

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