
Accession Number : ADA182552
Title : ARMA Estimators of Probability Densities with Exponential or Regularly Varying Fourier Coefficients.
Descriptive Note : Technical rept.,
Corporate Author : TEXAS A AND M UNIV COLLEGE STATION DEPT OF STATISTICS
Personal Author(s) : Hart,Jeffrey D
PDF Url : ADA182552
Report Date : Jun 1987
Pagination or Media Count : 43
Abstract : Properties of a probability density estimator having the rational form of a ARMA spectrum are investigated. Under various conditions on the underlying density's Fourier coefficients, the ARMA estimator is shown to have asymptotically smaller mean integrated squared error (MISE) than the best windowtype Fourier series estimator. The most interesting cases are those in which the Fourier coefficients are regularly varying with indexp,p 1/2. For example, when p=2 the asymptotic MISE of a certain ARMA estimator is only about 75% of that for the optimum window estimator. For a density f with support in 0, PI, the condition p=2 occurs whenever f'(0+) does not equal to 0, f' (pi) =0, and f is square integrable. Keywords: Generalized jackknife; Regularly varying function.
Descriptors : *ESTIMATES, *PROBABILITY DENSITY FUNCTIONS, COEFFICIENTS, FOURIER SERIES, OPTIMIZATION, WINDOWS, ASYMPTOTIC SERIES
Subject Categories : Statistics and Probability
Distribution Statement : APPROVED FOR PUBLIC RELEASE