Efficient estimation in a semiparametric additive regression model with autoregressive errors

DOI10.1016/0304-4149(95)00093-3zbMath0844.62029OpenAlexW2065761639MaRDI QIDQ1915842

Anton Schick

Publication date: 1 September 1996

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(95)00093-3

zbMATH Keywords

stationary AR(1) processefficient estimatessemiparametric additive regression modelunknown Lipschitz-continuous function

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

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Cites Work

• Information and asymptotic efficiency in parametric-nonparametric models
• The asymptotic distribution of the likelihood ratio for autoregressive time series with a regression trend
• On asymptotically efficient estimation in semiparametric models
• Convergence rates for parametric components in a partly linear model
• Correction to ``A note on the construction of asymptotically linear estimators
• On adaptive estimation
• A two-stage spline smoothing method for partially linear models
• Efficient estimates in semiparametric additive regression models with unknown error distribution
• Testing stationarity in the mean of autoregressive processes with a nonparametric regression trend
• Addendum to ``A third-order optimum property of the maximum likelihood estimator
• On efficient estimation in regression models
• Estimation of the autocorrelation coefficient in the presence of a regression trend
• On adaptive estimation in stationary ARMA processes
• Root-N-Consistent Semiparametric Regression
• Minimax Estimates in a Semiparametric Model
• On estimation and adaptive estimation for locally asymptotically normal families
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