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Effect of dependence on stochastic measures of accuracy of density estimations

Claeskens, Gerda; Hall, Peter


In kernel density estimation, those data values that make a nondegenerate contribution to the estimator (computed at a given point) tend to be spaced well apart. This property has the effect of suppressing many of the conventional consequences of long-range dependence, for example, slower rates of convergence, which might otherwise be revealed by a traditional loss-or risk-based assessment of performance. From that viewpoint, dependence has to be very long-range indeed before a density...[Show more]

CollectionsANU Research Publications
Date published: 2002
Type: Journal article
Source: The Annals of Statistics
DOI: 10.1214/aos/1021379860


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