SEMIPARAMETRIC DENSITY ESTIMATION FOR TIME SERIES WITH

Wang Kaiping; Lin Lu

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SEMIPARAMETRIC DENSITY ESTIMATION FOR TIME SERIES WITH

Wang Kaiping 1 * #,Lin Lu 2

1.Shandong University

2.shandong university

*Correspondence author

#Submitted by

Subject:

Funding: 高等学校博士学科点专项科研基金资助项目（No.20070422034）

Opened online:31 December 2007

Accepted by: none

Citation: Wang Kaiping ,Lin Lu .SEMIPARAMETRIC DENSITY ESTIMATION FOR TIME SERIES WITH[OL]. [31 December 2007] http://en.paper.edu.cn/en_releasepaper/content/17621

In this paper, we extend a class of semiparametric density estimators to time series context. The asymptotic theory and simulation study are discussed. Theoretical results and numerical comparison show that, in the time series case, the estimators in this class are better than, or at least competitive with, the traditional kernel density estimator in a broad class of densities.

Keywords:semiparametric density estimation, time series,multiplicative adjustment

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