Some inequalities for strong mixing random variables with applications to density estimation

Yongming Li, Shanchao Yang and Chengdong Wei

Statistics & Probability Letters, 2011, vol. 81, issue 2, 250-258

Abstract: In this paper, we establish an inequality of the characteristic functions for strongly mixing random vectors, by which, an upper bound is provided for the supremum of the absolute value of the difference of two multivariate probability density functions based on strongly mixing random vectors. As its application, we consider the consistency and asymptotic normality of a kernel estimate of a density function under strong mixing. Our results generalize some known results in the literature.

Keywords: Strong; mixing; processes; Esseen-type; inequality; Kernel; estimate (search for similar items in EconPapers)
Date: 2011
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