Accurate rates of density estimators for continuous-time processes
We specify necessary conditions for getting parametric convergence rate of kernel density estimators. For continuous-time processes observed over [0, T], we show that two possible exact rates are (ln T)/T and 1/T, according to the nature of sample paths.
Volume (Year): 33 (1997)
Issue (Month): 2 (April)
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- Castellana, J. V. & Leadbetter, M. R., 1986. "On smoothed probability density estimation for stationary processes," Stochastic Processes and their Applications, Elsevier, vol. 21(2), pages 179-193, February.
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