Plug-in estimators for higher-order transition densities in autoregression

DOI10.1051/PS:2008001zbMath1180.62051OpenAlexW2147292302MaRDI QIDQ5851015

Anton Schick, Wolfgang Wefelmeyer

Publication date: 21 January 2010

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/104414

zbMATH Keywords

empirical likelihoodOwen estimatorleast dispersed regular estimatorefficient influence functionstochastic expansion of residual-based kernel density estimator

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Functional limit theorems; invariance principles (60F17)

Related Items (2)

Prediction in invertible linear processes ⋮ Prediction in moving average processes

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