Finite sample performance of density estimators under moving average dependence

We study the finite sample performance of kernel density estimators through exact mean integrated squared error formulas when the data belong to an infinite order moving average process. It is demonstrated that dependence can have a significant influence, even in situations where the asymptotic performance is unaffected.

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Year of publication:	1992
Authors:	Wand, M. P.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 13.1992, 2, p. 109-115
Publisher:	Elsevier
Keywords:	ARMA dependence models exact mean integrated squared error kernel estimator serial correlation window width

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005223864