The asymptotic variance of the continuous-time kernel estimator with applications to bandwidth selection

DOI10.1023/A:1017520326698zbMath0984.62029OpenAlexW1579551606MaRDI QIDQ5952147

Martin Sköld

Publication date: 14 May 2002

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1017520326698

zbMATH Keywords

asymptotic variancedependent databandwith selectioncontinuous timekernel estimate

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: estimation (62M09)

Related Items (6)

Improved estimator of the continuous-time kernel estimator ⋮ Local Hölder exponent estimation for multivariate continuous time processes ⋮ Adaptive estimation of density with sampled observations. ⋮ Adaptive sampling schemes for density estimation ⋮ Optimal sampling for density estimation in continuous time ⋮ Improving density estimators of discretely observed processes by interpolation

Uses Software

• KernSmooth

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