Asymptotic normality of conditional density estimation in the single index model for functional time series data

Nengxiang Ling and Qian Xu

Statistics & Probability Letters, 2012, vol. 82, issue 12, 2235-2243

Abstract: In this paper, we investigate the estimation of conditional density function based on the single-index model for functional time series data. The asymptotic normality of the conditional density estimator and the conditional mode estimator for the α mixing dependence functional time series data are obtained, respectively. Furthermore, as applications, the asymptotic (1-ζ) confidence interval of the conditional density function and the conditional mode are also presented for 0<ζ<1.

Keywords: Asymptotic normality; α mixing dependence; Single functional index model; Conditional density; Conditional mode (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:82:y:2012:i:12:p:2235-2243

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DOI: 10.1016/j.spl.2012.08.018

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