کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1144586 957422 2015 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Revisiting the estimation of the error density in functional autoregressive models
ترجمه فارسی عنوان
بازبینی تخمینی تراکم خطا در مدل های عملکرد خودکار
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
چکیده انگلیسی

In this paper, we study some asymptotic properties of a new estimator of the probability density function of the driven noise in a nonparametric functional autoregressive model. This density estimator, based on the kernel method, does not require the estimation of the residuals of the model (as in the usual plug-in estimator). We prove its pointwise consistency with rate and establish a multivariate central limit theorem, without any assumption on the noise distribution tail. Theoretical results are illustrated with some simulation experiments. We finally propose a goodness-of-fit test of the error distribution, built from a normalized sum of the quadratic deviation between the true density and its estimator evaluated on a finite set of distinct points.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of the Korean Statistical Society - Volume 44, Issue 4, December 2015, Pages 646–660
نویسندگان
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