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math.ST2007
Optimality of estimators for misspecified semi-Markov models
Ursula U. Müller, Anton Schick, Wolfgang Wefelmeyer
Suppose we observe a geometrically ergodic semi-Markov process and have a parametric model for the transition distribution of the embedded Markov chain, for the conditional distrib…
math.ST2007★ 47 cited
Uniformly root- consistent density estimators for weakly dependent invertible linear processes
Anton Schick, Wolfgang Wefelmeyer
Convergence rates of kernel density estimators for stationary time series are well studied. For invertible linear processes, we construct a new density estimator that converges, in…