Efficient density estimation in an AR(1) model

DOI10.1214/23-ejs2166MaRDI QIDQ6144410

Wolfgang Wefelmeyer, Anton Schick

Publication date: 5 January 2024

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

Full work available at URL: https://projecteuclid.org/journals/electronic-journal-of-statistics/volume-17/issue-2/Efficient-density-estimation-in-an-AR1-model/10.1214/23-EJS2166.full

zbMATH Keywords

Hadamard differentiabilitykernel density estimationBahadur expansions in \(L_1\)

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Root-\(n\) consistency in weighted \(L _{1}\)-spaces for density estimators of invertible linear processes
• Density estimation for linear processes
• Efficient prediction for linear and nonlinear autoregressive models
• Nonparametric density and regression estimation for Markov sequences without mixing assumptions
• Data-driven bandwidth choice for density estimation based on dependent data
• Kernel density estimation for linear processes: Asymptotic normality and optimal bandwidth derivation
• Adaptive estimation in time-series models
• Efficient estimation in nonlinear autoregressive time-series models
• Functional convergence and optimality of plug-in estimators for stationary densities of moving average processes
• Efficient estimation of Banach parameters in semiparametric models
• Estimating the innovation distribution in nonlinear autoregressive models
• Weak convergence and empirical processes. With applications to statistics
• Root-\(n\) consistent density estimators of convolutions in weighted \(L_{1}\)-norms
• NONPARAMETRIC TESTS FOR SERIAL DEPENDENCE
• Root n consistent and optimal density estimators for moving average processes
• Kernel density estimation for linear processes
• Kernel density estimation for linear processes
• Nonparametric density estimation for a long-range dependent linear process

This page was built for publication: Efficient density estimation in an AR(1) model