Finite sample performance of density estimators under moving average dependence

M. P. Wand

Statistics & Probability Letters, 1992, vol. 13, issue 2, 109-115

Abstract: We study the finite sample performance of kernel density estimators through exact mean integrated squared error formulas when the data belong to an infinite order moving average process. It is demonstrated that dependence can have a significant influence, even in situations where the asymptotic performance is unaffected.

Keywords: ARMA; dependence; models; exact; mean; integrated; squared; error; kernel; estimator; serial; correlation; window; width. (search for similar items in EconPapers)
Date: 1992
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Citations: View citations in EconPapers (6)

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