Oracally efficient estimation of autoregressive error distribution with simultaneous confidence band

DOI10.1214/13-AOS1197zbMath1308.62096arXiv1405.6044WikidataQ61865752 ScholiaQ61865752MaRDI QIDQ2249844

Rong Liu, Jiangyan Wang, Fuxia Cheng, Lijian Yang

Publication date: 3 July 2014

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

Full work available at URL: https://arxiv.org/abs/1405.6044

zbMATH Keywords

bandwidthresidualkernelerrororacle efficiency\(\mathrm{AR}(p)\)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric tolerance and confidence regions (62G15)

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