Consistency of the Autoregressive Method of Density Estimation.
STATE UNIV OF NEW YORK AT BUFFALO AMHERST STATISTICAL SCIENCE DIV
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A density function fdot, with 1f dot both Lebesgue-integrable, has a representation as an autoregressive spectral density. This representation is used to obtain new density autoregressive estimators of different orders p based on the empirical characteristic function of a sample of size n. The consistency of these new estimators is shown under varying conditions on the smoothness of fdot.
- Statistics and Probability