On the asymptotic variance of the continuous-time kernel density estimator
Martin Sköld and Ola Hössjer
Department of Mathematical Statistics,
Lund Institute of Technology,
We reformulate the conditions of Blanke & Bosq (1997) for achieving
the log(T)/T-rate of convergence of the kernel density estimator for a smooth
process and give under slightly stronger assumptions the exact asymptotic
form of the variance giving an expression for the asymptotic optimal bandwidth.
Conditions for the full 1/T and discrete-time rates are also considered.