Sequential robust estimation for nonparametric autoregressive models

DOI10.1080/07474946.2016.1238261zbMath1358.62071arXiv1304.4848OpenAlexW2553921780MaRDI QIDQ2958401

No author found.

Publication date: 1 February 2017

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1304.4848

zbMATH Keywords

adaptive estimationnonparametric autoregressionrobust efficiencysequential kernel estimator

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Sequential estimation (62L12)

Related Items

Asymptotically optimal robust information-based quick detection for general stochastic models with nonparametric postchange uncertainty ⋮ ADAPTATION FOR NONPARAMETRIC ESTIMATORS OF LOCALLY STATIONARY PROCESSES ⋮ A truncated estimation method with guaranteed accuracy ⋮ Sequential model selection method for nonparametric autoregression ⋮ Cross validation for locally stationary processes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Statistical methods with varying coefficient models
• On recursive estimation for time varying autoregressive processes
• Asymptotically efficient sequential kernel estimates of the drift coefficient in ergodic diffusion processes
• Estimation of the number of observations in the sequential parameter identification of dynamical systems
• Recursive estimation of a drifted autoregressive parameter.
• Sequential nonparametric adaptive estimation of the drift coefficient in diffusion processes
• On the Kullback-Leibler information divergence of locally stationary processes
• Truncated sequential estimation of the parameter of a first order autoregressive process with dependent noises
• Asymptotically efficient estimates for nonparametric regression models
• Adaptive asymptotically efficient estimation in heteroscedastic nonparametric regression
• Sequential Adaptive Estimators in Nonparametric Autoregressive Models
• Adaptive sequential estimation for ergodic diffusion processes in quadratic metric
• Maximum likelihood estimation and model selection for locally stationary processes^∗
• Nonparametric Sequential Minimax Estimation of the Drift Coefficient in Diffusion Processes