Asymptotics of kernel error density estimators in nonlinear autoregressive models

DOI10.1007/s10910-008-9379-2zbMath1217.62131OpenAlexW2046291712MaRDI QIDQ552027

Ke Ang Fu, Xiao Rong Yang

Publication date: 21 July 2011

Published in: Journal of Mathematical Chemistry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10910-008-9379-2

zbMATH Keywords

kernel density estimatorresidualsnonlinear autoregressive models

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20)

Related Items (1)

Law of the iterated logarithm for error density estimators in nonlinear autoregressive models

Cites Work

• Unnamed Item
• A weak convergence result useful in robust autoregression
• On conditional least squares estimation for stochastic processes
• Weak convergence of randomly weighted dependent residual empiricals with applications to autoregression
• Weighted empirical processes in dynamic nonlinear models.

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