Adaptive estimation in noncausal stationary AR processes

DOI10.1214/AOS/1176349408zbMath0791.62089OpenAlexW1995965165MaRDI QIDQ1317262

Elisabeth Gassiat

Publication date: 20 July 1994

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176349408

zbMATH Keywords

causalityscaling factornoncausalityasymptotic minimax boundsnoncausal filteringhardest one-dimensional subproblemadaptive efficient estimationLAN propertieslocally asymptotically minimax estimatorsstationary \(\text{AR} (p)\) process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35)

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