The integrated absolute error of the kernel error distribution estimator in the first-order autoregression model

Fuxia Cheng

Statistics & Probability Letters, 2024, vol. 214, issue C

Abstract: This paper considers convergence rates of kernel estimators of the error cumulative distribution function in the first-order autoregressive model. LIL is extended to the integrated absolute error of residual-based kernel error cumulative distribution function estimator.

Keywords: Kernel estimator; L1-norm; LIL; Residuals; Autoregressive models (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1016/j.spl.2024.110215

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