Efficient and adaptive post-model-selection estimators

DOI10.1016/S0378-3758(98)00236-5MaRDI QIDQ1298924zbMATH OpenOpenAlexFDO

Authors Peter Bühlmann

Publication date 28 November 1999

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0378-3758(98)00236-5

zbMATH Keywords

semiparametric modelinformation criterionMarkov chainslocal asymptotic normalitysuper-efficiencycontext algorithmAR modeldiscrete nuisance parameter

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

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• A universal data compression system
• A universal finite memory source
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• Efficient estimation in nonlinear autoregressive time-series models
• Estimating the dimension of a model
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• Variable length Markov chains

Cited in

(7)

• Asymptotic post-selection inference for the Akaike information criterion
• scientific article; zbMATH DE number 5717359 (Why is no real title available?)
• A new technique for postsample model selection and validation
• Adaptive model selection using empirical complexities
• Automated Selection of Post-Strata using a Model-Assisted Regression Tree Estimator
• scientific article; zbMATH DE number 3942850 (Why is no real title available?)
• scientific article; zbMATH DE number 1064642 (Why is no real title available?)

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