Adaptive estimation in a random coefficient autoregressive model

DOI10.1214/aos/1032526954zbMath0906.62087OpenAlexW2168092893MaRDI QIDQ1816970

Anton Schick, Hira L. Koul

Publication date: 22 February 1999

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

Full work available at URL: https://doi.org/10.1214/aos/1032526954

zbMATH Keywords

local asymptotic normalitystationaryergodicsemiparametricLANgeneralized \(M\)-estimatorlocally asymptotically minimax adaptive estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Nonparametric estimation (62G05)

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Cites Work

• Weakly adaptive estimators in explosive autoregression
• On asymptotically efficient estimation in semiparametric models
• A note on the construction of asymptotically linear estimators
• On adaptive estimation
• Random coefficient autoregressive models: an introduction
• Asymptotic optimal inference for a class of nonlinear time series models
• On adaptive estimation in stationary ARMA processes
• On estimation and adaptive estimation for locally asymptotically normal families
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