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)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:33:y:1997:i:2:p:185-191. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu)
If references are entirely missing, you can add them using this form.