Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1144618 | Journal of the Korean Statistical Society | 2014 | 12 Pages |
Abstract
The purpose of this paper is to study the asymptotic behaviour of the recursive kernel density estimator. This estimator was introduced and investigated by Amiri (2010) for independent and α-mixing sequences. In this work, we are interested in η-weak dependence, which is different from the notion of α-mixing. We provide the variance and the mean squared error of this estimator. The asymptotic normality is also discussed. A simulation study for two η-dependent models which are not necessarily α-mixing shows the advantage in time computation of considering the recursive kernel estimation rather than the Parzen-Rosenblatt one.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Kenza Assia Mezhoud, Zaher Mohdeb, Sana Louhichi,