On The Behavior Of Nonparametric Density And Spectral Density Estimators At Zero Points Of Their Support
The asymptotic behavior of nonparametric estimators of the probability density function of an i.i.d. sample and of the spectral density function of a stationary time series have been studied in some detail in the last 50-60 years. Nevertheless, an open problem remains to date, namely the behavior of the estimator when the target function happens to vanish at the point of interest. In the paper at hand we fill this gap, and show that asymptotic normality still holds true but with a super-efficient rate of convergence. We also provide two possible applications where these new results can be found useful in practice.
|Date of creation:||01 Dec 2012|
|Date of revision:|
|Contact details of provider:|| Postal: 9500 Gilman Drive, La Jolla, CA 92093-0508|
Phone: (858) 534-3383
Fax: (858) 534-7040
Web page: http://www.escholarship.org/repec/ucsdecon/
More information through EDIRC
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.:
- McElroy, Tucker & Politis, Dimitris N., 2012.
"Fixed-B Asymptotics For The Studentized Mean From Time Series With Short, Long, Or Negative Memory,"
Cambridge University Press, vol. 28(02), pages 471-481, April.
- Politis, D N & McElroy, Tucker S, 2009. "Fixed-b asymptotics for the studentized mean from time series with short, long or negative memory," University of California at San Diego, Economics Working Paper Series qt70c4x0sq, Department of Economics, UC San Diego.
- Liu, Weidong & Wu, Wei Biao, 2010. "Asymptotics Of Spectral Density Estimates," Econometric Theory, Cambridge University Press, vol. 26(04), pages 1218-1245, August.
When requesting a correction, please mention this item's handle: RePEc:cdl:ucsdec:qt40g0z0tz. 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: (Lisa Schiff)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.