A characterization of limiting distributions of estimators in an autoregressive process (Q1077854): Difference between revisions

The author obtained a characterization of limiting distributions of nonparametric and parametric estimators of \(\theta\) for the first order autoregressive model \(X_ i=\theta X_{i-1}+\epsilon_ i\), \(i=1,2,...,n,\) where \(\epsilon_ i\) are independent identically distributed random variables with mean 0, variance \(\sigma^ 2\) and unspecified density function g(\(\cdot)\). The author investigated local asymptotic normality as well as a local asymptotic minimax bound of the risk of adaptive estimators.