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Limit theorems for kernel density estimators under dependent samples
Kernel density estimator consistency convergence rate mixing rate
2013/6/14
In this paper, we construct a moment inequality for mixing dependent random variables, it is of independent interest. As applications, the consistency of the kernel density estimation is investigated....
Limit theorems for moving averages of discretized processes plus noise
Central limit theorem high-frequency observations microstructure noise
2010/10/14
This paper presents some limit theorems for certain functionals of moving averages of semimartingales plus noise which are observed at high frequency. Our method generalizes the pre-averaging approac...
Limit theorems for multiple stochastic integrals
Stable convergence Weak convergence Independently scattered measure
2009/6/12
We show that the general stable convergence results proved in Peccati and Taqqu(2007)for generalized adapted stochastic integrals can be used to obtain limit theorems for multiple stochastic integrals...