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Global property of error density estimation in nonlinear autoregressive time series models

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  • Fuxia Cheng

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  • Fuxia Cheng, 2010. "Global property of error density estimation in nonlinear autoregressive time series models," Statistical Inference for Stochastic Processes, Springer, vol. 13(1), pages 43-53, April.
    • Handle: RePEc:spr:sistpr:v:13:y:2010:i:1:p:43-53
    DOI: 10.1007/s11203-009-9036-9
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    References listed on IDEAS

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    1. Cheng, Fuxia & Sun, Shuxia, 2008. "A goodness-of-fit test of the errors in nonlinear autoregressive time series models," Statistics & Probability Letters, Elsevier, vol. 78(1), pages 50-59, January.
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    Cited by:

    1. Gao, Min & Yang, Wenzhi & Wu, Shipeng & Yu, Wei, 2022. "Asymptotic normality of residual density estimator in stationary and explosive autoregressive models," Computational Statistics & Data Analysis, Elsevier, vol. 175(C).
    2. Cheng, Fuxia, 2015. "Strong consistency of the distribution estimator in the nonlinear autoregressive time series," Journal of Multivariate Analysis, Elsevier, vol. 142(C), pages 41-47.
    3. Nadine Hilgert & Bruno Portier, 2012. "Strong uniform consistency and asymptotic normality of a kernel based error density estimator in functional autoregressive models," Statistical Inference for Stochastic Processes, Springer, vol. 15(2), pages 105-125, July.

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