Marginal density estimation for linear processes with cyclical long memory

Details Marginal density estimation for linear processes with cyclical long memory Marginal density estimation for linear processes with cyclical long memory

2010-12-23

arxiv.org/abs/1012.5278v3

Mathematics

Statistics Theory

Scientific paper

Some convergence results on the kernel density estimator are proven for a class of linear processes with cyclical effects. In particular we extend the results of Ho and Hsing (1996a) and Mielniczuk (1997) to the stationary processes for which the singularities of the spectral density are not limited to the origin. We show that the convergence rates and the limit distribution may be different in this context.

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