Geodesic
Density deconvolution with associated stationary data
Applications of Mathematics, Tome 68 (2023) no. 5, pp. 685-708

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We study the density deconvolution problem when the random variables of interest are an associated strictly stationary sequence and the random noises are i.i.d.\ with a nonstandard density. Based on a nonparametric strategy, we introduce an estimator depending on two parameters. This estimator is shown to be consistent with respect to the mean integrated squared error. Under additional regularity assumptions on the target function as well as on the density of noises, some error estimates are derived. Several numerical simulations are also conducted to illustrate the efficiency of our method.
DOI : 10.21136/AM.2023.0135-22
Classification : 62G05, 62G07, 62G20
Keywords: associated process; density deconvolution; nonstandard noise density 
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Thuy, Le Thi Hong; Phuong, Cao Xuan. Density deconvolution with associated stationary data. Applications of Mathematics, Tome 68 (2023) no. 5, pp. 685-708. doi: 10.21136/AM.2023.0135-22

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