On the multivariate kernel distribution estimator for distribution functions un...

• Author(s): Azevedo, Cecília Maria ; Oliveira, Paulo E.
• Date: 2005
• Persistent ID: http://hdl.handle.net/1822/1815
• Origin: RepositóriUM - Universidade do Minho
• Subject(s): Association; Kernel estimator; Optimal bandwidth; Mean squared error
• Document Type: Conference Object
• Language: English

Description

In this note we consider the estimation of the multivariate distribution function Fp of the p-dimensional marginal of a stationary associated sequence. We show, under certain regularity conditions, the almost sure consistency and characterize the asymptotic behavior of the MSE. We also characterize the asymptotic optimal bandwidth. Under some stronger assumptions on the covariance this bandwidth rate is shown to be the same as for the independent case.