Asymptotic Theory for Kernel Density Estimation Under Dependent Length-Biased Sampling

Résumé fourni par la source

We establish an asymptotic theory for the Jones inverse-weighted kernel density estimator when length-biased observations form a strictly stationary short-range dependent sequence. The statistical difficulty is intrinsically composite: reciprocal weighting is singular at the origin, the normalizing mean is estimated from the same dependent sample, kernel localization shrinks with the bandwidth, and the centered summands form a row-wise stationary triangular array whose envelope diverges at rate hn−1. Under a non-negative compactly supported Lipschitz kernel, an inverse-moment condition, geometric α-mixing, local regularity of the target density, and uniform local bounds on lagged bivariate densities, we prove strong uniform consistency on compact subsets of (0,∞) and, separately, the uniform stochastic bound OP{hn2+(logn/(nhn))1/2}. A covariance-localization argument shows that the scaled serial-covariance contribution is O{hnlog(1/hn)}=o(1), so the first-order pointwise variance coincides with that of the corresponding independent length-biased estimator. Pointwise and finite-dimensional Gaussian limits are obtained by an explicit big-block/small-block argument with off-diagonal covariance control. The ratio normalization is treated directly: its variance contribution, its product with the localized fluctuation, and its cross-covariance with that fluctuation are all negligible at the nhn scale. We further derive first-order AMSE and AMISE criteria, their oracle bandwidths, and feasible pointwise studentization under undersmoothing. The numerical study separates oracle from data-driven bandwidth selection, evaluates full-ratio HAC and moving-block corrections, examines a Frank-copula Markov robustness design, and benchmarks the Jones estimator against an alternative length-biased estimator. The simulations support the first-order theory while demonstrating that persistent short-range dependence can remain consequential for finite-sample uncertainty.

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