On nonparametric density estimation for multivariate linear long-memory processes

DOI10.1080/03610926.2017.1395048OpenAlexW2765401243MaRDI QIDQ5076960

Jan Beran, Klaus Telkmann

Publication date: 17 May 2022

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

Full work available at URL: https://doi.org/10.1080/03610926.2017.1395048

zbMATH Keywords

linear processlong-range dependencekernel density estimationmultivariate time seriesmultivariate

Mathematics Subject Classification ID

Density estimation (62G07) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Statistics (62-XX)

Related Items (2)

On nonparametric ridge estimation for multivariate long-memory processes ⋮ Testing for the expected number of exceedances in strongly dependent seasonal time series

Uses Software

• KernSmooth
• longmemo

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A semiparametric two-step estimator in a multivariate long memory model
• Multivariate plug-in bandwidth selection with unconstrained pilot bandwidth matrices
• Nonparametric density estimation for linear processes with infinite variance
• Semiparametric inference in multivariate fractionally cointegrated systems
• Convergence rates in density estimation for data from infinite-order moving average processes
• The empirical process of some long-range dependent sequences with an application to U-statistics
• Weak convergence of Vervaat and Vervaat error processes of long-range dependent sequences
• Reduction principles for quantile and Bahadur-Kiefer processes of long-range dependent linear sequences
• Feature significance for multivariate kernel density estimation
• On central and non-central limit theorems in density estimation for sequences of long-range dependence
• Long- and short-range dependent sequences under exponential subordination
• Central limit theorem for the empirical process of a linear sequence with long memory
• Weak convergence of multivariate fractional processes
• Empirical processes of long-memory sequences
• On the asymptotic expansion of the empirical process of long-memory moving averages
• Effect of dependence on stochastic measures of accuracy of density estimators
• Limit theorems for nonlinear functionals of a stationary Gaussian sequence of vectors
• Density estimation under long-range dependence
• On bandwidth choice for density estimation with dependent data
• Data-driven density derivative estimation, with applications to nonparametric clustering and bump hunting
• Nonparametric deconvolution problem for dependent sequences
• On functional limit theorems for multivariate linear processes with applications to sequential estimation
• Weak convergence of the weighted sequential empirical process of some long-range dependent data
• Strong invariance principles for sequential Bahadur-Kiefer and Vervaat error processes of long-range dependent sequences
• The empirical process for bivariate sequences with long memory
• Local empirical spectral measure of multivariate processes with long range dependence.
• On the effect of long-range dependence on extreme value copula estimation with fixed marginals
• DEFINITIONS AND REPRESENTATIONS OF MULTIVARIATE LONG-RANGE DEPENDENT TIME SERIES
• Asymptotics for general multivariate kernel density derivative estimators
• Computationally efficient methods for two multivariate fractionally integrated models
• A Brief Survey of Bandwidth Selection for Density Estimation
• Remarks on Some Nonparametric Estimates of a Density Function
• Maximum likelihood estimation of stationary multivariate ARFIMA processes
• NON‐PARAMETRIC ESTIMATION WITH STRONGLY DEPENDENT MULTIVARIATE TIME SERIES
• Nonparametric estimation under long memory dependence
• SAMPLE MEANS, SAMPLE AUTOCOVARIANCES, AND LINEAR REGRESSION OF STATIONARY MULTIVARIATE LONG MEMORY PROCESSES
• Long-Memory Processes
• Multivariate Density Estimation
• On Estimation of a Probability Density Function and Mode
• Kernel density estimation for linear processes
• Nonparametric density estimation for a long-range dependent linear process

This page was built for publication: On nonparametric density estimation for multivariate linear long-memory processes