On nonparametric density estimation for multivariate linear long-memory processes
| Type of Publication: | Journal article |
| Publication status: | Published |
| Author: | Beran, Jan; Telkmann, Klaus |
| Year of publication: | 2018 |
| Published in: | Communications in Statistics : Theory and Methods ; 47 (2018), 22. - pp. 5460-5473. - ISSN 0361-0926. - eISSN 1532-415X |
| DOI (citable link): | https://dx.doi.org/10.1080/03610926.2017.1395048 |
| Summary: |
We consider nonparametric estimation of the density function and its derivatives for multivariate linear processes with long-range dependence. In a first step, the asymptotic distribution of the multivariate empirical process is derived. In a second step, the asymptotic distribution of kernel density estimators and their derivatives is obtained.
|
| Subject (DDC): | 510 Mathematics |
| Keywords: | kernel density estimation, linear process, multivariate, long-range dependence, multivariate time series |
| Bibliography of Konstanz: | Yes |
| Refereed: | Yes |
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BERAN, Jan, Klaus TELKMANN, 2018. On nonparametric density estimation for multivariate linear long-memory processes. In: Communications in Statistics : Theory and Methods. 47(22), pp. 5460-5473. ISSN 0361-0926. eISSN 1532-415X. Available under: doi: 10.1080/03610926.2017.1395048
@article{Beran2018-11-17nonpa-41236, title={On nonparametric density estimation for multivariate linear long-memory processes}, year={2018}, doi={10.1080/03610926.2017.1395048}, number={22}, volume={47}, issn={0361-0926}, journal={Communications in Statistics : Theory and Methods}, pages={5460--5473}, author={Beran, Jan and Telkmann, Klaus} }
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