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The integrated absolute error of the kernel error distribution estimator in the first-order autoregression model

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  • Cheng, Fuxia

Abstract

This paper considers convergence rates of kernel estimators of the error cumulative distribution function in the first-order autoregressive model. LIL is extended to the integrated absolute error of residual-based kernel error cumulative distribution function estimator.

Suggested Citation

  • Cheng, Fuxia, 2024. "The integrated absolute error of the kernel error distribution estimator in the first-order autoregression model," Statistics & Probability Letters, Elsevier, vol. 214(C).
    • Handle: RePEc:eee:stapro:v:214:y:2024:i:c:s0167715224001846
    DOI: 10.1016/j.spl.2024.110215
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    Keywords

    Kernel estimator; L1-norm; LIL; Residuals; Autoregressive models;
    All these keywords.

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