In this paper, we provide an asymptotic expression for mean integrated squared error (MISE) of nonlinear wavelet density estimator for a truncation model. It is assumed that the lifetime observations form a stationary α-mixing sequence. Unlike for kernel estimator, the MISE expression of the nonlinear wavelet estimator is not affected by the presence of discontinuities in the curves. Also, we establish asymptotic normality of the nonlinear wavelet estimator.
|Number of pages||23|
|Journal||International Journal of Wavelets, Multiresolution and Information Processing|
|Publication status||Published - 1 Jun 2011|
- asymptotic normality
- mean integrated squared error
- Nonlinear wavelet density estimator
- truncated data