On non parametric statistical inference for densities under long-range dependence

Kurzanzeige
dc.contributor.authorBeran, Jan
dc.contributor.authorSchumm, Nadja
dc.date.accessioned2017-10-26T09:46:27Z
dc.date.available2017-10-26T09:46:27Z
dc.date.issued2017-11-17eng
dc.description.abstractStatistical inference for kernel estimators of the marginal density is considered for stationary processes with long-range dependence. The asymptotic behavior is known to differ sharply between small and large bandwidths. The statistical implications of this dichotomy have not been fully explored in the literature. The optimal rate and a functional limit theorem are obtained for large bandwidths, if the long-memory parameter exceeds a certain threshold. The threshold can be lowered arbitrarily close to the lower bound of the long-memory range. This result is extended to processes with infinite variance, and the construction of simultaneous finite-sample confidence bands is considered.eng
dc.description.versionpublishedde
dc.identifier.doi10.1080/03610926.2016.1263740eng
dc.identifier.urihttps://kops.uni-konstanz.de/handle/123456789/40425
dc.language.isoengeng
dc.subjectInfinite variance, kernel density estimation, long-range dependence, simultaneous confidence band, smoothing dichotomyeng
dc.subject.ddc510eng
dc.subject.msc62Gxx
dc.subject.msc62Mxx
dc.subject.msc62G07
dc.subject.msc62G20
dc.subject.msc60K99
dc.titleOn non parametric statistical inference for densities under long-range dependenceeng
dc.typeJOURNAL_ARTICLEde
dspace.entity.typePublication
kops.citation.bibtex
@article{Beran2017-11-17param-40425,
  year={2017},
  doi={10.1080/03610926.2016.1263740},
  title={On non parametric statistical inference for densities under long-range dependence},
  number={22},
  volume={46},
  issn={0361-0926},
  journal={Communications in Statistics / Theory and Methods},
  pages={11296--11314},
  author={Beran, Jan and Schumm, Nadja}
}
kops.citation.iso690BERAN, Jan, Nadja SCHUMM, 2017. On non parametric statistical inference for densities under long-range dependence. In: Communications in Statistics / Theory and Methods. 2017, 46(22), pp. 11296-11314. ISSN 0361-0926. eISSN 1532-415X. Available under: doi: 10.1080/03610926.2016.1263740deu
kops.citation.iso690BERAN, Jan, Nadja SCHUMM, 2017. On non parametric statistical inference for densities under long-range dependence. In: Communications in Statistics / Theory and Methods. 2017, 46(22), pp. 11296-11314. ISSN 0361-0926. eISSN 1532-415X. Available under: doi: 10.1080/03610926.2016.1263740eng
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kops.sourcefieldCommunications in Statistics / Theory and Methods. 2017, <b>46</b>(22), pp. 11296-11314. ISSN 0361-0926. eISSN 1532-415X. Available under: doi: 10.1080/03610926.2016.1263740deu
kops.sourcefield.plainCommunications in Statistics / Theory and Methods. 2017, 46(22), pp. 11296-11314. ISSN 0361-0926. eISSN 1532-415X. Available under: doi: 10.1080/03610926.2016.1263740deu
kops.sourcefield.plainCommunications in Statistics / Theory and Methods. 2017, 46(22), pp. 11296-11314. ISSN 0361-0926. eISSN 1532-415X. Available under: doi: 10.1080/03610926.2016.1263740eng
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source.periodicalTitleCommunications in Statistics / Theory and Methodseng

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