Nonparametric density estimation for linear processes with infinite variance
نویسندگان
چکیده
منابع مشابه
Nonparametric density estimation for linear processes with infinite variance
We consider nonparametric estimation of marginal density functions of linear processes by using kernel density estimators. We assume that the innovation processes are i.i.d. and have infinite-variance. We present the asymptotic distributions of the kernel density estimators with the order of bandwidths fixed as h = cn−1/5, where n is the sample size. The asymptotic distributions depend on both ...
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ژورنال
عنوان ژورنال: Annals of the Institute of Statistical Mathematics
سال: 2007
ISSN: 0020-3157,1572-9052
DOI: 10.1007/s10463-007-0149-x