A note on nonparametric density estimation for dependent variables using a delta sequence

Summary A general method based on “delta sequences” due to Walter and Blum 12] is extended to sequences of strictly stationary mixing random variables having the same marginal distribution admitting a Lebesgue probability density function. It is proved that, under certain conditions, the rate of mean square convergence obtained in the i.i.d. case by Walter and Blum, continues to hold. University of Petroleum and Minerals