Efficient estimation in a semiparametric autoregressive model

DOI10.1023/A:1009950813472zbMath0984.62067MaRDI QIDQ1567089

Anton Schick

Publication date: 13 May 2002

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

zbMATH Keywords

efficiencyergodicitylocal asymptotic normalitycontiguityV-uniform ergodicitysample splittinglocal asymptotic minimaxitystatinary Markov chains

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05)

Related Items (1)

Some developments in semiparametric statistics

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