Sequential Adaptive Estimators in Nonparametric Autoregressive Models
From MaRDI portal
Publication:3006707
DOI10.1080/07474946.2011.563715zbMath1215.62079arXiv1004.5199MaRDI QIDQ3006707
Publication date: 20 June 2011
Published in: Sequential Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1004.5199
62G08: Nonparametric regression and quantile regression
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62L12: Sequential estimation
Related Items
Sequential model selection method for nonparametric autoregression, ADAPTATION FOR NONPARAMETRIC ESTIMATORS OF LOCALLY STATIONARY PROCESSES, Aggregation of predictors for nonstationary sub-linear processes and online adaptive forecasting of time varying autoregressive processes, Cross validation for locally stationary processes, A truncated estimation method with guaranteed accuracy, Sequential robust estimation for nonparametric autoregressive models
Cites Work
- Unnamed Item
- Optimal bandwidth selection in nonparametric regression function estimation
- On the Kullback-Leibler information divergence of locally stationary processes
- Nonparametric Estimation of a Density of Unknown Smoothness
- Maximum likelihood estimation and model selection for locally stationary processes∗
- Local minimax pointwise estimation of a multivariate density
- On a Problem of Adaptive Estimation in Gaussian White Noise