Rate of convergence of a convolution-type estimator of the marginal density of a MA(1) process

AbstractIn this paper moving-average processes with no parametric assumption on the error distribution are considered. A new convolution-type estimator of the marginal density of a MA(1) is presented. This estimator is closely related to some previous ones used to estimate the integrated squared density and has a structure similar to the ordinary kernel density estimator. For second-order kernels, the rate of convergence of this new estimator is investigated and the rate of the optimal bandwidth obtained. Under limit conditions on the smoothing parameter the convolution-type estimator is proved to be n-consistent, which contrasts with the asymptotic behavior of the ordinary kernel density estimator, that is only nh-consistent