-аппроксимация функции правдоподобия
Non-negative linear processes
Conditions under which the linear process is non-negative are investigated in the paper. In the definition of the linear process a strict white noise is used. Explicit results are presented also for the models AR(1) and AR(2).
Nonparametric estimation of the derivatives of the stationary density for stationary processes
In this article, our aim is to estimate the successive derivatives of the stationary density f of a strictly stationary and β-mixing process (Xt)t≥0. This process is observed at discrete times t = 0,Δ,...,nΔ. The sampling interval Δ can be fixed or small. We use a penalized least-square approach to compute adaptive estimators. If the derivative f(j)belongs to the Besov space B 2 , ∞ α , then our estimator converges at rate (nΔ)−α/(2α+2j+1). Then we consider a diffusion with known diffusion coefficient....
Normal covariances
Note on the central limit theorem for stationary processes