Asymptotic normality of the local linear estimation of the conditional density for functional time-series data

作者：Xiong, Xianzhu^*; Zhou, Peiqin; Ailian, Chen

来源：Communications in Statistics - Theory and Methods, 2018, 47(14): 3418-3440.

DOI：10.1080/03610926.2017.1359292

• alpha-mixing dependence
• Conditional density
• Functional data
• Joint asymptotic normality
• Local linear estimator

This article focuses on the conditional density of a scalar response variable given a random variable taking values in a semimetric space. The local linear estimators of the conditional density and its derivative are considered. It is assumed that the observations form a stationary -mixing sequence. Under some regularity conditions, the joint asymptotic normality of the estimators of the conditional density and its derivative is established. The result confirms the prospect in Rachdi etal. (2014) and can be applied in time-series analysis to make predictions and build confidence intervals. The finite-sample behavior of the estimator is investigated by simulations as well.

• 出版日期2018
• 单位福州大学