Efficient prediction for linear and nonlinear autoregressive models

DOI10.1214/009053606000000812zbMath1106.62103arXivmath/0702701OpenAlexW3102639726MaRDI QIDQ869982

Anton Schick, Wolfgang Wefelmeyer, Ursula U. Müller

Publication date: 12 March 2007

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

Full work available at URL: https://arxiv.org/abs/math/0702701

zbMATH Keywords

functional central limit theoremempirical likelihoodDonsker classAR modelOwen estimatorEXPAR modelkernel smoothed empirical processplug-in-estimatorSETAR modeluniformly integrable bracketing entropy, pseudo-observationuniformly integrable entropyweighted density estimator

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Functional limit theorems; invariance principles (60F17)

Related Items (4)

Prediction in invertible linear processes ⋮ Efficient density estimation in an AR(1) model ⋮ Prediction in moving average processes ⋮ Some developments in semiparametric statistics

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