On local asymptotic normality for functional autoregressive processes

DOI10.1016/j.jmva.2016.02.017zbMath1341.62262OpenAlexW2298480933MaRDI QIDQ276983

Nesrine Kara-Terki, Tahar Mourid

Publication date: 4 May 2016

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2016.02.017

zbMATH Keywords

efficiencylocal asymptotic normalitymaximum likelihood estimatorfunctional autoregressive processesHajek bound

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09)

Related Items (2)

Local asymptotic normality for long-memory process with strong mixing noises ⋮ Exponential bounds and convergence rates of sieve estimators for functional autoregressive processes

Uses Software

• fda (R)
• far

Cites Work

• The asymptotic distribution of the likelihood ratio for autoregressive time series with a regression trend
• Estimation of parameters for Hilbert space-valued partially observable stochastic processes
• Functional data analysis
• Asymptotics in statistics. Some basic concepts.
• Asymptotic optimal inference for a class of nonlinear time series models
• Local asymptotic normality for autoregression with infinite order
• Nonparametric functional data analysis. Theory and practice.
• Asymptotic distribution of the likelihood function in the independent not identically distributed case
• Asymptotic distribution of the log-likelihood function for stochastic processes
• A family of minimax rates for density estimators in continuous time
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