Asymptotic Distributions of Error Density Estimators in First-order Autoregressive Models

摘要

This paper considers the asymptotic distributions of the error density estimators in first-order autoregressive models. At a fixed point, the distribution of the error density estimator is shown to be normal. Globally, the asymptotic distribution of the maximum of a suitably normalized deviation of the density estimator from the expectation of the kernel error density (based on the true error) is the same as in the case of the one sample set up, which is given in Bickel and Rosenblatt (1973).