Root-\(n\) consistency in weighted \(L _{1}\)-spaces for density estimators of invertible linear processes

DOI10.1007/s11203-008-9024-5zbMath1204.62151OpenAlexW2065312502MaRDI QIDQ623492

Wolfgang Wefelmeyer, Anton Schick

Publication date: 5 February 2011

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

Full work available at URL: https://doi.org/10.1007/s11203-008-9024-5

zbMATH Keywords

functional limit theoremkernel estimatorplug-in estimatorinfinite-order autoregressive processinfinite-order moving average processtightness criteria

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: estimation (62M09) Functional limit theorems; invariance principles (60F17)

Related Items (10)

Estimating the inter-arrival time density of Markov renewal processes under structural assumptions on the transition distribution ⋮ Efficient density estimation in an AR(1) model ⋮ Uniform convergence of convolution estimators for the response density in nonparametric regression ⋮ Online estimation of integrated squared density derivatives ⋮ Prediction in moving average processes ⋮ Some developments in semiparametric statistics ⋮ Recursive estimators of integrated squared density derivatives ⋮ Improved Density Estimators for Invertible Linear Processes ⋮ Plug-in estimators for higher-order transition densities in autoregression ⋮ Non Standard Behavior of Density Estimators for Functions of Independent Observations

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