On inference for modes under long memory

Jan Beran and Klaus Telkmann

Scandinavian Journal of Statistics, 2021, vol. 48, issue 2, 429-455

Abstract: We consider inference for local maxima of the marginal density function of strongly dependent linear processes. Weak consistency of the estimated modular set and the number of modes is derived. A uniform reduction principle for kernel density estimators is used to obtain confidence sets for the set of modes. The results can be extended to multivariate modes. Simulations illustrate the asymptotic results.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:bla:scjsta:v:48:y:2021:i:2:p:429-455

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