We consider the incidental parameters problem in this paper, i.e. the estimation for a small number of parameters of interest in the presence of a large number of nuisance parameters. By assuming that the observations are taken from a multiple strictly stationary process, the two estimation...

Let {Xj: j [greater-or-equal, slanted] 1} be a real-valued stationary process. Recursive kernel estimators of the joint probability density functions, and of conditional probability density functions of Xj, given past behavior, are considered. Their strong consistency, along with rates, are...