Marginal density estimation for linear processes with cyclical long memory

Some convergence results on the kernel density estimator are proven for a class of linear processes with cyclic effects. In particular, we extend the results of Ho and Hsing (1996), Mielniczuk (1997) and Hall and Hart (1990) to the stationary processes for which the singularities of the spectral density are not limited to the origin. We show that the convergence rates and the limiting distribution may be different in this context.

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Year of publication:	2011
Authors:	Ould Haye, Mohamedou ; Philippe, Anne
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 81.2011, 9, p. 1354-1364
Publisher:	Elsevier
Keywords:	Confidence band Empirical process Limit theorem Mean integrated squared error

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

Persistent link: https://www.econbiz.de/10009143292