ON DENSITY-ESTIMATION FROM ERGODIC PROCESSES

Authors
ADAMS TM NOBEL AB
Citation
Tm. Adams et Ab. Nobel, ON DENSITY-ESTIMATION FROM ERGODIC PROCESSES, Annals of probability, 26(2), 1998, pp. 794-804
Citations number
19
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Annals of probability → ACNP
ISSN journal
00911798
Volume
26
Issue
2
Year of publication
1998
Pages
794 - 804
Database
ISI
SICI code
0091-1798(1998)26:2<794:ODFEP>2.0.ZU;2-E
Abstract
We consider the problem of L-p-consistent density estimation from the initial segments of strongly dependent processes. It is shown that no procedure can consistently estimate the one-dimensional marginal densi ty of every stationary ergodic process for which such a density exists . A similar result is established for the problem of estimating the su pport of the marginal distribution of an ergodic process.