On asymptotic minimaxity of fixed accuracy estimators for autoregression parameters. I: Stable process

zbMath0928.62074MaRDI QIDQ1815811

Victor Konev, Serguei Pergamenchtchikov

Publication date: 11 January 2000

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

zbMATH Keywords

minimaxautoregressive processesstable processesasymptotic optimalityuniform asymptotic normalityexplosive processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Deviation probability bound for martingales with applications to statistical estimation

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