Recursive probability density estimation for weakly dependent stationary processes
- 1 March 1986
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Information Theory
- Vol. 32 (2) , 254-267
- https://doi.org/10.1109/tit.1986.1057163
Abstract
Recursive estimation of the univariate probability density functionf(x)for stationary processes\{X_{j}\}is considered. Quadratic-mean convergence and asymptotic normality for density estimatorsf_{n}(x)are established for strong mixing and for asymptotically uncorrelated processes\{X_{j}\}. Recent results for nonrecursive density estimators are extended to the recursive case.Keywords
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