On density estimation from ergodic processes

• 成果类型: Article
• 署名作者: Adams, TM; Nobel, AB
• 署名单位: University System of Ohio; Ohio State University; University of North Carolina; University of North Carolina Chapel Hill
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• 发表日期: 1998
• 页码: 794-804
• 关键词: stationary-processes; probability

摘要

We consider the problem of L-p-consistent density estimation from the initial segments of strongly dependent processes. It is shown that no procedure can consistently estimate the one-dimensional marginal density of every stationary ergodic process for which such a density exists. A similar result is established for the problem of estimating the support of the marginal distribution of an ergodic process.