Asymptotic normality of conditional density estimation in the single index model for functional time series data

Abstract

In this paper, we investigate the estimation of conditional density function based on the single-index model for functional time series data. The asymptotic normality of the conditional density estimator and the conditional mode estimator for the α mixing dependence functional time series data are obtained, respectively. Furthermore, as applications, the asymptotic (1-ζ) confidence interval of the conditional density function and the conditional mode are also presented for 0<ζ<1.