Random sampling of continuous-parameter stationary processes: Statistical properties of joint density estimators

Elias Masry

Journal of Multivariate Analysis, 1988, vol. 26, issue 2, 133-165

Abstract: Let {X(t), -[infinity] 0, and let {tj} be a renewal point processes on [0, [infinity]). Estimates of f(x1, x2; t), based on the discretetime observations {X(tj), tj}j = 1n, are considered and their statistical properties are investigated. The quadratic-mean consistency of and central limit theorems for are established for mixing processes {X(t), -[infinity]

Keywords: Multivariate; probability; density; estimation; random; sampling; mixing; continuous-parameter; processes; quadratic-mean; convergence; central; limit; theorem (search for similar items in EconPapers)
Date: 1988
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