Nonlinear wavelet density estimation for truncated and dependent observations

Juan-Juan Cai, Han-Ying Liang

Research output: Contribution to journalArticleScientificpeer-review

9 Citations (Scopus)

Abstract

In this paper, we provide an asymptotic expression for mean integrated squared error (MISE) of nonlinear wavelet density estimator for a truncation model. It is assumed that the lifetime observations form a stationary α-mixing sequence. Unlike for kernel estimator, the MISE expression of the nonlinear wavelet estimator is not affected by the presence of discontinuities in the curves. Also, we establish asymptotic normality of the nonlinear wavelet estimator.
Original languageEnglish
JournalInternational Journal of Wavelets, Multiresolution and Information Processing,
Volume9
Issue number4
DOIs
Publication statusPublished - 2011
Externally publishedYes

Keywords

  • Nonlinear wavelet density estimator
  • truncated data
  • α-mixing
  • mean integrated squared error
  • asymptotic normality

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