Local asymptotic normality of Hilbertian autoregressive processes

DOI10.1016/J.CRMA.2016.03.006zbMath1343.62061OpenAlexW2337453078MaRDI QIDQ282874

Nesrine Kara-Terki, Tahar Mourid

Publication date: 12 May 2016

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2016.03.006

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cites Work

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• The asymptotic distribution of the likelihood ratio for autoregressive time series with a regression trend
• 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
• 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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