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Nonparametric Density Estimation for Positive Time Series

Taoufik Bouezmarni and Jeroen Rombouts

No 06-09, Cahiers de recherche from HEC Montréal, Institut d'économie appliquée

Abstract: The Gaussian kernel density estimator is known to have substantial problems for bounded random variables with high density at the boundaries. For i.i.d. data several solutions have been put forward to solve this boundary problem. In this paper we propose the gamma kernel estimator as density estimator for positive data from a stationary ?-mixing process. We derive the mean integrated squared error, almost sure convergence and asymptotic normality. In a Monte Carlo study, where we generate data from an autoregressive conditional duration model and a stochastic volatility model, we find that the gamma kernel outperforms the local linear density estimator. An application to data from financial transaction durations, realized volatility and electricity price data is provided.

Keywords: Gamma kernel; nonparametric density estimation; mixing process; transaction durations; realised volatility. (search for similar items in EconPapers)
JEL-codes: C11 C22 C52 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2006-09
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mst
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Related works:
Journal Article: Nonparametric density estimation for positive time series (2010) Downloads
Working Paper: Nonparametric density estimation for positive time series (2006) Downloads
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