Kernel density estimation for linear processes
The Annals of Statistics · 2002 · Volume 30 · Issue 5
Abstract
In this paper we provide a detailed characterization of the asymptotic behavior of kernel density estimators for one-sided linear processes. The conjecture that asymptotic normality for the kernel density estimator holds under short-range dependence is proved under minimal assumptions on bandwidths. We also depict the dichotomous and trichotomous phenomena for various choices of bandwidths when the process is long-range dependent.
Keywords
60F17, 60G35, 62F05, kernel density estimators, linear process, Long- and short-range dependence, martingale central limit theorem
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