Efficient and adaptive post-model-selection estimators

DOI10.1016/S0378-3758(98)00236-5zbMath0926.62073OpenAlexW1991862201MaRDI QIDQ1298924

Peter Bühlmann

Publication date: 28 November 1999

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-3758(98)00236-5

zbMATH Keywords

Markov chainssemiparametric modellocal asymptotic normalitysuper-efficiencyinformation criterioncontext algorithmAR modeldiscrete nuisance parameter

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05)

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