On the asymptotic variance of the continuous-time kernel density estimator

Martin Sköld and Ola Hössjer

Statistics & Probability Letters, 1999, vol. 44, issue 1, 97-106

Abstract: We reformulate the conditions of Blanke and Bosq (1997) for achieving the (log T)/T-rate of convergence of the kernel density estimator for a smooth process and give under slightly stronger assumptions the exact asymptotic form of the variance giving an expression for the asymptotic optimal bandwidth. Conditions for the full T-1 and discrete-time rates are also considered.

Keywords: Density; estimation; Kernel; estimation; Stationary; processes (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (2)

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