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We consider the statistical experiment given by a sample y(1), . . . , y(n) of a stationary Gaussian process with an unknown smooth spectral density f. Asymptotic equivalence, in the sense of Le Cam’s...
We consider the statistical experiment given by a sample y(1), . . . , y(n) of a stationary Gaussian process with an unknown smooth spectral density f . Asymptotic equivalence, in the sense of Le Cam’...
We develop the exact constant of the risk asymptotics in the uniform norm for density estimation. This constant has first been found for nonparametric regression and for signal estimation in Gaussian ...
Signal recovery in Gaussian white noise with variance tending to zero has served for some time as a representative model for nonparametric curve estimation, having all the essential traits in a pure f...
Signal recovery in Gaussian white noise with variance tending to zero has served for some time as a representative model for nonparametric curve estimation, having all the essential traits in a pure f...
A kernel method is proposed to estimate the condensed density of the generalized eigenvalues of pencils of Hankel matrices whose elements have a joint noncentral Gaussian distribution with nonidentica...
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 sho...
Indirect inference estimators (i.e., simulation-based minimum distance estimators) in a parametric model that are based on auxiliary non-parametric maximum likelihood density estimators are shown to...
Some convergence results on the kernel density estimator are proven for a class of linear processes with seasonal effects. In particular we extend the results of Ho and Hsing (1996a) and Mielniczuk (1...

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