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Accurate rates of density estimators for continuous-time processes

We specify necessary conditions for getting parametric convergence rate of kernel density estimators. For continuous-time processes observed over [0, T], we show that two possible exact rates are (ln T)/T and 1/T, according to the nature of sample paths.
Year of publication:
1997
Authors: Blanke, D. ; Bosq, D.
Published in:
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 33.1997, 2, p. 185-191
Publisher: Elsevier
Keywords: Nonparametric estimation Superoptimal rate Continuous-time process Kernel density estimator
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Type of publication: Article
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Persistent link: https://www.econbiz.de/10005319404
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