Nonparametric density estimators based on nonstationary absolutely regular random sequences

Michel Harel and Madan L. Puri

International Journal of Stochastic Analysis, 1996, vol. 9, 1-22

Abstract:

In this paper, the central limit theorems for the density estimator and for the integrated square error are proved for the case when the underlying sequence of random variables is nonstationary. Applications to Markov processes and ARMA processes are provided.

Date: 1996
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:189689

DOI: 10.1155/S1048953396000238

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