Sequential Adaptive Estimators in Nonparametric Autoregressive Models

DOI10.1080/07474946.2011.563715zbMath1215.62079arXiv1004.5199OpenAlexW2159375525MaRDI QIDQ3006707

Ouerdia Arkoun

Publication date: 20 June 2011

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

Full work available at URL: https://arxiv.org/abs/1004.5199

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential estimation (62L12)

Related Items (6)

Aggregation of predictors for nonstationary sub-linear processes and online adaptive forecasting of time varying autoregressive processes ⋮ Sequential robust estimation for nonparametric autoregressive models ⋮ 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

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• Optimal bandwidth selection in nonparametric regression function estimation
• On the Kullback-Leibler information divergence of locally stationary processes
• Nonparametric Estimation of a Density of Unknown Smoothness
• Maximum likelihood estimation and model selection for locally stationary processes^∗
• Local minimax pointwise estimation of a multivariate density
• On a Problem of Adaptive Estimation in Gaussian White Noise

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