Abstract
A wavelet estimator f*(x) of an unknown probability density function f(x)∈L2(R) is considered. A conditional central limit theorem for martingales is used to show that ∫([f *(x) − f (x)]^2)dx is asymptotically normally distributed. Results obtained can be used in a test of goodness-of-fit.
DOI
10.22237/jmasm/1193890680
Included in
Applied Statistics Commons, Social and Behavioral Sciences Commons, Statistical Theory Commons
