Asymptotic of the Lr-norm of density estimators in the autoregressive time series

Author： Yang Xiaorong  

Publisher： Taylor & Francis Ltd

ISSN： 0233-1888

Source： Statistics, Vol.45, Iss.2, 2011-04, pp. : 163-178

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Abstract

In this article, we consider autoregressive models with independent identically distributed innovations. We compare the kernel density estimator of fitted residuals with the theoretical kernel density estimator based on unobserved innovations. We show that the Lr-norm of the difference is asymptotically negligible.

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