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Activity Number:
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279
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Type:
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Contributed
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Date/Time:
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Tuesday, August 4, 2009 : 8:30 AM to 10:20 AM
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Sponsor:
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IMS
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| Abstract - #304095 |
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Title:
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Density Estimators for Invertible Linear Processes
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Author(s):
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Wolfgang Wefelmeyer*+
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Companies:
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University of Cologne
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Address:
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Mathematical Institute, Cologne, 50931, Germany
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Keywords:
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Residual-based kernel estimators ; convolution of density estimators ; local von Mises statistics
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Abstract:
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The stationary density of an invertible linear processes can be represented as a convolution of innovation-based densities. It can therefore be estimated by a convolution of residual-based kernel estimators, or by a local von Mises statistic. We show that under mild conditions such estimators converge at the parametric rate, and functional central limit theorems hold. We also discuss the possibility of constructing efficient estimators. This is joint work with Anton Schick.
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- The address information is for the authors that have a + after their name.
- Authors who are presenting talks have a * after their name.
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