Asymptotic normality of the mixture density estimator in a disaggregation scheme

@inproceedings{Celov2010AsymptoticNO,
  title={Asymptotic normality of the mixture density estimator in a disaggregation scheme},
  author={Dmitrij Celov and Remigijus Leipus and Anne Philippe},
  year={2010}
}
The paper concerns the asymptotic distribution of the mixture density estimator, proposed by Leipus et al. (2006), in the aggregation/disaggregation problem of random parameter AR(1) process. We prove that, under mild conditions on the (semiparametric) form of the mixture density, the estimator is asymptotically normal. The proof is based on the limit theory for the quadratic form in linear random variables developed by Bhansali et al. (2007). The moving average representation of the aggregated… CONTINUE READING

Figures, Tables, and Topics from this paper.

Explore Further: Topics Discussed in This Paper

Similar Papers

Loading similar papers…