Fuxia Cheng_SMMA 2018 - Engii
Prof. Fuxia Cheng
Prof. Fuxia Cheng
Illinois State University, USA
Title: Asymptotics of Distribution Estimation In Linear Autoregressive Models
For the linear autoregressive stationary time series model, I consider estimation of the error distribution, including error variance, density and cumulative distribution functions. The asymptotic distribution of the error variance estimator is shown to be normal. And we also obtain the strong consistency of the proposed error variance estimator For the distribution of the error density estimator, at a fixed point, 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).
Fuxia Cheng is a Professor at the Department of Mathematics at the Illinois State University. She holds a Master and a PhD degree in Statistics from Michigan State University (USA), a PhD degree in Applied Mathematics from Tsinghua University, a Master degree in Mathematics from Fudan University and a Bachelor in Mathematics from Shandong University. She has published papers in peer-reviewed journals such as Annals of Statistics, Journal of Multivariate Analysis, Sankhya A: the Indian Journal of Statistics, Journal of Nonparametric Statistics, Journal of Statistical Planning and Inference, Statistics & Probability Letters, Statistical Inference for Stochastic Processes, Communications in Statistics---Theory and Methods, Biometrics, Bioinformatics, etc. She has been on the editorial board of several journals.