Strong consistency and rates for recursive probability density estimators of stationary processes

Elias Masry and László Györfi

Journal of Multivariate Analysis, 1987, vol. 22, issue 1, 79-93

Abstract: Let {Xj}j = - [infinity][infinity] be a vector-valued stationary process with a first-order univariate probability density f on Rd. We consider the recursive estimation of f(x) from n observations {Xj}j=1n which need not be independent. For processes {Xj}j = - [infinity][infinity] which are asymptotically uncorrelated, we establish sharp rates for the almost sure convergence of kernel-type estimators fn(x).

Keywords: recursive; probability; density; estimation; weakly; dependent; stationary; processes; almost; sure; convergence; rates (search for similar items in EconPapers)
Date: 1987
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Citations: View citations in EconPapers (11)

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