Marginal density estimation for linear processes with cyclical long memory |
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| Authors: | Mohamedou Ould HayeAnne Philippe |
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| Affiliation: | a School of Mathematics and Statistics, Carleton University, 1125 Colonel By Drive, Ottawa, Ontario K1S 5B6, Canadab Laboratoire de Mathmatiques Jean Leray UMR CNRS 6629, Université de Nantes, 2 rue de la Houssinière - BP 92208 44322 Nantes Cedex 3, France |
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| Abstract: | Some convergence results on the kernel density estimator are proven for a class of linear processes with cyclic effects. In particular, we extend the results of Ho and Hsing (1996), Mielniczuk (1997) and Hall and Hart (1990) 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 limiting distribution may be different in this context. |
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| Keywords: | Confidence band Empirical process Limit theorem Mean integrated squared error |
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