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Nonparametric estimators for time series. (English) Zbl 0544.62082

This paper gives multivariate central limit theorems for estimators of finite-dimensional pdfs of a strictly stationary process, as well as of conditional pdfs and conditional expectations, at continuity points, under the strong mixing condition. Some consistency properties are a by- product. The methods considered are kernel density and conditional density estimators.
Reviewer: P.A.Morettin

MSC:

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G05 Nonparametric estimation
60F05 Central limit and other weak theorems
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