On recursive estimation for time varying autoregressive processes

DOI10.1214/009053605000000624zbMath1084.62089arXivmath/0603047OpenAlexW4298950331MaRDI QIDQ817986

François Roueff, Pierre Priouret, Eric Moulines

Publication date: 23 March 2006

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0603047

zbMATH Keywords

locally stationary processesnonparametric estimation

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

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