Strong consistency and rates for recursive probability density estimators of stationary processes

Let {Xj}j = - [infinity][infinity] be a vector-valued stationary process with a first-order univariate probability density f on Rd. We consider the recursive estimation of f(x) from n observations {Xj}j=1n which need not be independent. For processes {Xj}j = - [infinity][infinity] which are asymptotically uncorrelated, we establish sharp rates for the almost sure convergence of kernel-type estimators fn(x).

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Year of publication:	1987
Authors:	Masry, Elias ; Györfi, László
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 22.1987, 1, p. 79-93
Publisher:	Elsevier
Keywords:	recursive probability density estimation weakly dependent stationary processes almost sure convergence rates

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

Persistent link: https://www.econbiz.de/10005199407