Semi-Parametric Density Estimation for Time-Series with Multiplicative Adjustment

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In this article, we extend a class of semi-parametric density estimators to time-series context. The asymptotic theory and simulation study are discussed. Theoretical results and numerical comparison show that in the time-series case, the estimators in this class are better than, or at least competitive with, the traditional kernel density estimator in a broad class of densities.