An efficient estimator for the expectation of a bounded function under the residual distribution of an autoregressive process

DOI10.1007/BF01720587zbMath0802.62084OpenAlexW2093869030MaRDI QIDQ1336526

Wolfgang Wefelmeyer

Publication date: 12 December 1994

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01720587

zbMATH Keywords

adaptive estimatorefficient estimatorempirical estimatorresidual distributioni.i.d. residualsestimated residualsstationary first-order autoregressive processunknown mean zero distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

Estimating invariant laws of linear processes by \(U\)-statistics. ⋮ Quasi-likelihood models and optimal inference ⋮ Residual Empirical Processes and Weighted Sums for Time-Varying Processes with Applications to Testing for Homoscedasticity ⋮ Estimating linear functionals of the error distribution in nonparametric regression

Cites Work

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• Weak convergence of the residual empirical process in explosive autoregression
• Contributions to a general asymptotic statistical theory. With the assistance of W. Wefelmeyer
• A characterization of limiting distributions of estimators in an autoregressive process
• A note on the construction of asymptotically linear estimators
• On adaptive estimation
• Estimation of the distribution function of noise in stationary processes
• A weak convergence result useful in robust autoregression
• On the asymptotic efficiency of estimators in an autoregressive process
• Efficiencies of tests and estimators for p-order autoregressive processes when the error distribution is nonnormal
• Quasi-likelihood models and optimal inference
• Efficiency of estimators for partially specified filtered models
• Estimation of the Distribution of Noise in an Autoregression Scheme

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