ADAPTIVE SEMIPARAMETRIC ESTIMATION IN THE PRESENCE OF AUTOCORRELATION OF UNKNOWN FORM

DOI10.1111/J.1467-9892.1992.TB00094.XMaRDI QIDQ4012961zbMATH OpenOpenAlexFDO

Authors Javier Hidalgo

Publication date 27 September 1992

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1992.tb00094.x

zbMATH Keywords

adaptive semiparametric estimationasymptotic distributionautoregressiondisturbancesleast-squares estimateMonte CarloNadaraya-Watson nonparametric kernel regression estimatornonlinear functiontime series regression model

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• An efficient two-step estimator for the dynamic adjustment model with autoregressive errors
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• scientific article; zbMATH DE number 3862231 (Why is no real title available?)
• scientific article; zbMATH DE number 3942890 (Why is no real title available?)
• scientific article; zbMATH DE number 3335601 (Why is no real title available?)
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• Limiting behavior of U-statistics for stationary, absolutely regular processes
• Martingale Central Limit Theorems
• Non-linear threshold autoregressive models for non-linear random vibrations
• On adaptive estimation
• On U-statistics and v. mise? statistics for weakly dependent processes
• Regression Analysis when the Dependent Variable Is Truncated Normal
• Root-N-Consistent Semiparametric Regression
• Some Limit Theorems for Random Functions. II
• Some mixing properties of time series models
• Specification of the Disturbance for Efficient Estimation
• The estimation of a nonlinear moving average model

Cited in

(13)

• Adaptive estimation in time series regression models
• A consistent nonparametric test for serial independence
• Estimation of the autocorrelation coefficient in the presence of a regression trend
• Asymptotic normality of pseudo-LS estimator for partly linear autoregression models
• Adaptive estimation of autoregressive models with time-varying variances
• Adaptive estimation in multiple time series with independent component errors
• An Adaptive Estimator of the Autocorrelation Coefficient in Regression Models with Autoregressive Errors
• Asymptotic properties of some estimators for partly linear stationary autoregressive models
• Uniformly adaptive estimation for models with arma errors
• PARAMETER ESTIMATION IN A PARTLY LINEAR REGRESSION MODEL WITH RANDOM COEFFICIENT AUTOREGRESSIVE ERRORS
• Unconditional pseudo-maximum likelihood and adaptive estimation in the presence of conditional heterogeneity of unknown form
• Adapting to Unknown Disturbance Autocorrelation in Regression with Long Memory
• A semiparametric method for estimating nonlinear autoregressive model with dependent errors

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