Wishart kernel density estimation for strongly mixing time series on the cone of positive definite matrices
正定矩阵锥上强混合时间序列的 Wishart 核密度估计
A Wishart kernel density estimator (KDE) is introduced for density estimation in the cone of positive definite matrices. The estimator is boundary-aware and mitigates the boundary bias suffered by conventional KDEs, while remaining simple to implement. Its mean squared error, uniform strong consistency on expanding compact sets, and asymptotic normality are established under the Lebesgue measure and suitable mixing conditions. This work represents the first study of density…