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Marginal density estimation for linear processes with cyclical long memory

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  • Ould Haye, Mohamedou
  • Philippe, Anne

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.

Suggested Citation

  • Ould Haye, Mohamedou & Philippe, Anne, 2011. "Marginal density estimation for linear processes with cyclical long memory," Statistics & Probability Letters, Elsevier, vol. 81(9), pages 1354-1364, September.
    • Handle: RePEc:eee:stapro:v:81:y:2011:i:9:p:1354-1364
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    References listed on IDEAS

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