Local asymptotic normality for autoregression with infinite order

DOI10.1016/0378-3758(90)90126-FzbMath0778.62083OpenAlexW2014540344MaRDI QIDQ1813482

Jens-Peter Kreiss

Publication date: 25 June 1992

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

Full work available at URL: https://doi.org/10.1016/0378-3758(90)90126-f

zbMATH Keywords

simulationcharacterizationadaptive estimationlocally asymptotically normallocal parametrizationlocal asymptotically minimax estimatesstationary autoregressive process with infinite order

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09) Robustness and adaptive procedures (parametric inference) (62F35) Stationary stochastic processes (60G10)

Related Items (10)

On local asymptotic normality for functional autoregressive processes ⋮ Local asymptotic normality of Hilbertian autoregressive processes ⋮ Local asymptotic normality for multivariate nonlinear AR processes ⋮ Local asymptotic normality for long-memory process with strong mixing noises ⋮ Root n consistent and optimal density estimators for moving average processes ⋮ Likelihood Ratio Processes under Nonstandard Settings ⋮ Some developments in semiparametric statistics ⋮ Asymptotic Distribution of the Estimated BDS Statistic from The Residuals of Location-Scale Type Processes ⋮ LAN theorem for non-Gaussian locally stationary processes and its applications ⋮ Local asymptotic normality for multivariate linear processes

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