Kernel Entropy Estimation for Linear Processes

Hailin Sang, Yongli Sang and Fangjun Xu

Journal of Time Series Analysis, 2018, vol. 39, issue 4, 563-591

Abstract: Let {X n :n∈N}be a linear process with bounded probability density function f(x). We study the estimation of the quadratic functional ∫ R f 2(x)dx. With a Fourier transform on the kernel function and the projection method, it is shown that, under certain mild conditions, the estimator 2 / ( n ( n − 1 ) h n ) ∑ 1 ≤ i

Date: 2018
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