DENSITY-ESTIMATION IN STRONGLY DEPENDENT NONLINEAR TIME-SERIES

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	DENSITY-ESTIMATION IN STRONGLY DEPENDENT NONLINEAR TIME-SERIES
	CHENG, B; ROBINSON, PM
	1991-07-01
发表期刊	STATISTICA SINICA
ISSN	1017-0405
卷号	1 期号:2 页码:335-359
摘要	Smoothed nonparametric density estimates can be useful in analysing nonlinear time series. Their asymptotic properties in weakly dependent series, including limiting distributions and mean squared error, are known to be similar to those in independent series. Robinson (1987) found evidence that these properties may not hold in strongly dependent, or "long-memory" Gaussian time series. The present paper derives normal and non-normal limiting distributions in case of long-memory nonlinear series, provides a numerical comparison of integrated mean squared error, and reports estimates based on simulated series.
关键词	DENSITY ESTIMATION LONG MEMORY TIME SERIES NONLINEAR TIME SERIES NORMAL AND NONNORMAL LIMITING DISTRIBUTIONS INTEGRATED MEAN SQUARED ERROR
语种	英语
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:A1991GA76900002
出版者	STATISTICA SINICA
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/27734
专题	应用数学研究所
作者单位	1.CHINESE ACAD SCI,INST APPL MATH,BEIJING,PEOPLES R CHINA 2.UNIV LONDON LONDON SCH ECON & POLIT SCI,DEPT CYTOL,LONDON WC2A 2AE,ENGLAND
推荐引用方式 GB/T 7714	CHENG, B,ROBINSON, PM. DENSITY-ESTIMATION IN STRONGLY DEPENDENT NONLINEAR TIME-SERIES[J]. STATISTICA SINICA,1991,1(2):335-359.
APA	CHENG, B,&ROBINSON, PM.(1991).DENSITY-ESTIMATION IN STRONGLY DEPENDENT NONLINEAR TIME-SERIES.STATISTICA SINICA,1(2),335-359.
MLA	CHENG, B,et al."DENSITY-ESTIMATION IN STRONGLY DEPENDENT NONLINEAR TIME-SERIES".STATISTICA SINICA 1.2(1991):335-359.