Schick, Anton; Wefelmeyer, Wolfgang - In: Scandinavian Journal of Statistics 31 (2004) 1, pp. 63-78
The marginal density of a first order moving average process can be written as a convolution of two innovation densities. Saavedra & Cao [Can. J. Statist. (2000), 28, 799] propose to estimate the marginal density by plugging in kernel density estimators for the innovation densities, based on...