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Finite sample performance of density estimators from unequally spaced data

✍ Scribed by José A. Vilar; Juan M. Vilar

Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
168 KB
Volume
50
Category
Article
ISSN
0167-7152

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✦ Synopsis

For broad classes of deterministic and random sampling schemes { k }, exact mean integrated squared error (MISE) expressions for the kernel estimator of the marginal density of a ÿrst-order continuous-time autoregressive process are derived. The obtained expressions show that the e ect on MISE due to both the sampling scheme and the sampling rate is signiÿcant for ÿnite samples. The results are also extended to a case where the irregular observations are generated from a mixture of ÿrst-order continuous-time processes.

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