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Improved estimator of the continuous-time kernel estimator
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There have been many papers presenting kernel density estimators for a strictly stationary continuous time process observed over the time interval [O, T]. However the estimators do not satisfy the property of mean-square continuity if the process is mean-square continuous. In this paper we present a modified kernel estimator and substantiate that the modified estimator satisfies the property of mean-square continuity. At last in a simulation study the results show the modified estimator is better than the original estimator in some cases.
kernel density estimationmean-square continuousmean-square error (MSE)
CHENG Jian-qiang、SHEN Hao、HE You-hua
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Department of Mathematics, College of Sciences, Shanghai University, Shanghai 200444, P. R. China
国家自然科学基金Shanghai Leading Academic Discipline Project
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NSTL
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