Uniformly adaptive estimation for models with arma errors

DOI10.1080/07474939708800395zbMath0914.62070OpenAlexW2026394673WikidataQ126256331 ScholiaQ126256331MaRDI QIDQ4373275

Douglas G. Steigerwald

Publication date: 14 June 1999

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939708800395

zbMATH Keywords

uniform convergenceARMAsemiparametric estimatoruniformly adaptive

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35) General nonlinear regression (62J02)

Cites Work

• Information and asymptotic efficiency in parametric-nonparametric models
• Cramer-type conditions and quadratic mean differentiability
• On adaptive estimation
• Adaptive estimation in time series regression models
• On adaptive estimation in stationary ARMA processes
• On estimation and adaptive estimation for locally asymptotically normal families
• On the Assumptions Used to Prove Asymptotic Normality of Maximum Likelihood Estimates
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