Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Root-n consistent estimation of the marginal density in some time series
  models   In this paper, we consider the problem of estimating the marginal density in
some nonlinear autoregressive time series models for which the conditional mean
and variance have a parametric specification. Under some regularity conditions,
we show that a kernel type estimate based on the residuals can be root-n
consistent even if the noise density is unknown. Our results, which are shown
to be valid for classical time series models such as ARMA or GARCH processes,
extend substantially the existing results obtained for some homoscedatic time
series models. Asymptotic expansion of our estimator is obtained by combining
some martingale type arguments and a coupling method for time series which is
of independent interest. We also study the uniform convergence of our estimator
on compact intervals.

36
The categories of this paper are: cmp-lg
22
The categories of this paper are: chao-dyn
20
The categories of this paper are: acc-phys
24
The categories of this paper are: dg-ga
19
The categories of this paper are: eess
1
The categories of this paper are: cs
28
The categories of this paper are: alg-geom
14
The categories of this paper are: math-ph
31
The categories of this paper are: ao-sci
29
The categories of this paper are: funct-an
17
The categories of this paper are: q-fin
35
The categories of this paper are: mtrl-th
9
The categories of this paper are: nlin
13
The categories of this paper are: quant-ph
5
The categories of this paper are: gr-qc
30
The categories of this paper are: q-alg