Asymptotic results of error density estimator in nonlinear autoregressive models

被引：1

作者：

Wu, Shipeng ^{[1
,2
]}

Yang, Wenzhi ^{[1
]}

Gao, Min ^{[1
]}

Fang, Hongyan ^{[1
]}

机构：

[1] Anhui Univ, Sch Big Data & Stat, Hefei, Peoples R China

[2] Shanxi Univ Finance & Econ, Sch Stat, Taiyuan, Peoples R China

来源：

JOURNAL OF THE KOREAN STATISTICAL SOCIETY | 2024年 / 53卷 / 03期

关键词：

Nonlinear autoregressive models; alpha-mixing; Kernel density estimator; Asymptotic normality; Uniform convergence rate; REGRESSION-MODEL; STRONG CONSISTENCY; NORMALITY; CONVERGENCE; THEOREM;

D O I：

10.1007/s42952-024-00258-3

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper considers the asymptotic properties of the error density estimator in the nonlinear autoregressive models with alpha-mixing errors. The asymptotic distribution and uniform convergence rate for the kernel density estimator of error density function are obtained. Last, some simulations of histograms, confidence intervals and mean integrated square errors are illustrated, which agree with our theoretical results.

引用

页码：563 / 582

页数：20

共 50 条

[21] Asymptotic behavior of least squares estimators for nonlinear autoregressive models
Zhaobo LIU
Chanying LI
Science China(Information Sciences), 2023, 66 (06) : 299 - 300
[22] Asymptotics for the SIMEX estimator in nonlinear measurement error models
Carroll, RJ
Kuchenhoff, H
Lombard, F
Stefanski, LA
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1996, 91 (433) : 242 - 250
[23] Invariance Principle and Berry-Esseen Bound for Error Variance Estimator for Pth-Order Nonlinear Autoregressive Models
Liang, Kaiyu
Zhang, Yong
Ding, Xue
AXIOMS, 2024, 13 (11)
[24] AN OPTIMAL ERROR RATE ESTIMATOR BASED ON AVERAGE CONDITIONAL ERROR RATE - ASYMPTOTIC RESULTS
HAND, DJ
PATTERN RECOGNITION LETTERS, 1986, 4 (05) : 347 - 350
[25] Asymptotic properties of LS estimator in nonlinear functional EV models
Miao, Yu
Zhen, Yuhang
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2022, 51 (21) : 7575 - 7606
[26] Asymptotic Properties of Error Density Estimator in Regression Model Under -Mixing Assumptions
Liang, Han-Ying
Niu, Si-Li
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2009, 38 (06) : 761 - 783
[27] On the asymptotic mean integrated squared error of a kernel density estimator for dependent data
Mielniczuk, J
STATISTICS & PROBABILITY LETTERS, 1997, 34 (01) : 53 - 58
[28] Asymptotic normality of the deconvolution kernel density estimator under the vanishing error variance
Bert van Es
Shota Gugushvili
Journal of the Korean Statistical Society, 2010, 39 : 103 - 115
[29] Asymptotic normality of the deconvolution kernel density estimator under the vanishing error variance
van Es, Bert
Gugushvili, Shota
JOURNAL OF THE KOREAN STATISTICAL SOCIETY, 2010, 39 (01) : 103 - 115
[30] On the asymptotic normality for L2-error of wavelet density estimator with application
Zhang, SL
Zheng, ZG
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 1999, 28 (05) : 1093 - 1104

← 1 2 3 4 5 →