A characterization of limiting distributions of estimators in an autoregressive process (Q1077854)

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A characterization of limiting distributions of estimators in an autoregressive process
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    A characterization of limiting distributions of estimators in an autoregressive process (English)
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    1986
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    The author obtained a characterization of limiting distributions of nonparametric and parametric estimators of \(\theta\) for the first order autoregressive model \(X_ i=\theta X_{i-1}+\epsilon_ i\), \(i=1,2,...,n,\) where \(\epsilon_ i\) are independent identically distributed random variables with mean 0, variance \(\sigma^ 2\) and unspecified density function g(\(\cdot)\). The author investigated local asymptotic normality as well as a local asymptotic minimax bound of the risk of adaptive estimators.
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    local likelihood ratio
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    representation theorem
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    characterization of limiting distributions
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    first order autoregressive model
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    local asymptotic normality
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    local asymptotic minimax bound
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    risk
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    adaptive estimators
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