Weighted uniform consistency of kernel density estimators with general bandwidth sequences.
Why view and what is next?
N. N. Cencov wrote a commentary chapter included in the Appendix of the Russian translation of the Devroye and Györfi book [15] collecting some arguments supporting the view of density estimation. The Cencov’s work is available in Russian only and it hasn’t been translated, so late Igor Vajda decided to translate the Cencov’s paper and to add some remarks on the occasion of organizing the session “25 Years of the Density Estimation” at the Prague Stochastics 2010 Symposium. In this paper we...
Wild bootstrap in RCA(1) model
In the paper, a heteroskedastic autoregressive process of the first order is considered where the autoregressive parameter is random and errors are allowed to be non-identically distributed. Wild bootstrap procedure to approximate the distribution of the least-squares estimator of the mean of the random parameter is proposed as an alternative to the approximation based on asymptotic normality, and consistency of this procedure is established.