Efficient inference for autoregressive coefficients in the presence of trends

DOI10.1016/j.jmva.2012.07.016zbMath1255.62279DBLPjournals/ma/QiuSY13OpenAlexW2023035647WikidataQ61865753 ScholiaQ61865753MaRDI QIDQ1931850

Qin Shao, Debin Qiu

Publication date: 16 January 2013

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2012.07.016

zbMATH Keywords

autoregressive time seriesYule-Walker estimatormoving averagelocal polynomialoracle efficiency

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Related Items (6)

Oracally efficient estimation and testing for an ARCH model with trend ⋮ Statistical inference for ARMA time series with moving average trend ⋮ Time-varying additive model with autoregressive errors for locally stationary time series ⋮ Autoregressive mixture models for clustering time series ⋮ On estimation of nonparametric regression models with autoregressive and moving average errors ⋮ EFFICIENT ESTIMATION FOR PERIODIC AUTOREGRESSIVE COEFFICIENTS VIA RESIDUALS

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