Saavedra, Ángeles; Cao, Ricardo - In: Stochastic Processes and their Applications 80 (1999) 2, pp. 129-155
In 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...