Semi-Parametric Density Estimation for Time-Series with Multiplicative Adjustment |
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| Authors: | Kaiping Wang Lu Lin |
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| Affiliation: | 1. School of Mathematics and System Sciences, Shandong University , Jinan, China;2. School of Management, Shandong University , Jinan, China wkp@sdu.edu.cn;4. School of Mathematics and System Sciences, Shandong University , Jinan, China |
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| Abstract: | In this article, we extend a class of semi-parametric density estimators to time-series context. The asymptotic theory and simulation study are discussed. Theoretical results and numerical comparison show that in the time-series case, the estimators in this class are better than, or at least competitive with, the traditional kernel density estimator in a broad class of densities. |
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| Keywords: | Multiplicative adjustment Semi-parametric density estimation Time-series |
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