On nonparametric density estimation for multivariate linear long-memory processes

Jan Beran and Klaus Telkmann

Communications in Statistics - Theory and Methods, 2018, vol. 47, issue 22, 5460-5473

Abstract: We consider nonparametric estimation of the density function and its derivatives for multivariate linear processes with long-range dependence. In a first step, the asymptotic distribution of the multivariate empirical process is derived. In a second step, the asymptotic distribution of kernel density estimators and their derivatives is obtained.

Date: 2018
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DOI: 10.1080/03610926.2017.1395048

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