Summary
For Hermite series density estimators assertions about rates of convergence of MSE, MISE and about asymptotic normality are given. Moreover, we study the behaviour of these estimators if the density is not continuous. Hermite series estimators with random length are also considered. Convergence in probability and a.s. of these estimators is proved.
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Liebscher, E. Hermite series estimators for probability densities. Metrika 37, 321–343 (1990). https://doi.org/10.1007/BF02613540
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DOI: https://doi.org/10.1007/BF02613540