On the asymptotic variance of the continuous-time kernel density estimator

We reformulate the conditions of Blanke and Bosq (1997) for achieving the (log T)/T-rate of convergence of the kernel density estimator for a smooth process and give under slightly stronger assumptions the exact asymptotic form of the variance giving an expression for the asymptotic optimal bandwidth. Conditions for the full T-1 and discrete-time rates are also considered.

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Year of publication:	1999
Authors:	Sköld, Martin ; Hössjer, Ola
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 44.1999, 1, p. 97-106
Publisher:	Elsevier
Keywords:	Density estimation Kernel estimation Stationary processes

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

Persistent link: https://www.econbiz.de/10005223865