A characterization of limiting distributions of estimators in an autoregressive process

DOI10.1007/BF02482506zbMath0595.62088MaRDI QIDQ1077854

B. George

Publication date: 1986

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

representation theoremlocal asymptotic normalityriskadaptive estimatorsfirst order autoregressive modelcharacterization of limiting distributionslocal asymptotic minimax boundlocal likelihood ratio

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General second-order stochastic processes (60G12) Characterization and structure theory of statistical distributions (62E10)

Related Items (6)

An efficient estimator for the expectation of a bounded function under the residual distribution of an autoregressive process ⋮ Adaptive estimators for parameters of the autoregression function of a Markov chain ⋮ Large deviations and estimation in infinite-dimensional models ⋮ Quasi-likelihood models and optimal inference ⋮ Regression with autoregressive errors-some asymptotic results ⋮ Oracally efficient estimation of autoregressive error distribution with simultaneous confidence band

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• Asymptotic minimax theorems for the sample distribution function
• A characterization of limiting distributions of regular estimates

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