Adaptive estimation in time-series models
type: Item
instance of: scholarly article
title: Adaptive estimation in time-series models
zbMATH Open document ID: 0941.62093
author: Feike C. Drost
author: Bas J. M. Werker
author: Chris A. J. Klaassen
published in: The Annals of Statistics
publication date: 2000-08-02T00:00:00Z
review text: The authors focus their attention on adaptive estimation within a semi-parametric framework. The obtained results are well suited for time series models with i.i.d. errors. They consider the estimation of a Euclidean parameter \(\theta\) in a semi-parametric model parametrized for this parameter and an infinite dimensional nuisance parameter \(g\). In the time series models adaptive estimation of the Euclidean parameter is possible thanks to the independence of the present innovation and the past. The authors show that the necessary criteria for parameters to be adaptively estimable, given in a previous work and based on the specific structure of the score function in time series models, are also sufficient. Afterwards they built adaptive and hence efficient estimators and apply their results to ARMA and ARCH models.
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62F35
Mathematics Subject Classification ID: 62G05
Mathematics Subject Classification ID: 62F12
zbMATH DE Number: 1029342
zbMATH Keywords: LAN in time series
zbMATH Keywords: adaptive estimation
zbMATH Keywords: semiparametrics
reviewed by: José R. León
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1214/aos/1031833674
OpenAlex ID: W3023990694
cites work: On adaptive estimation
cites work: Q4277836
cites work: Fractionally integrated generalized autoregressive conditional heteroskedasticity
cites work: A multiple-threshold AR(1) model
cites work: Efficient estimation in semiparametric GARCH models
cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
cites work: A characterization of limiting distributions of regular estimates
cites work: Q5543905
cites work: Q3911791
cites work: Consistent estimation of the influence function of locally asymptotically linear estimators
cites work: On adaptive estimation in stationary ARMA processes
cites work: Q3749988
cites work: Semiparametric efficiency bounds
cites work: Convergence of stochastic processes
cites work: Comment on `Adaptive estimation in time series regression models' by D. G. Steigerwald
cites work: On asymptotically efficient estimation in semiparametric models
cites work: A note on the construction of asymptotically linear estimators
cites work: Adaptive estimation in time series regression models
cites work: Reply to B. M. Pötscher's comment on `Adaptive estimation in time series regression models'
cites work: Quasi-likelihood models and optimal inference
DOI: 10.1214/AOS/1031833674
description: scientific article; zbMATH DE number 1029342