Nonparametric estimation for an autoregressive model

MaRDI QIDQ5868827zbMATH OpenFDO

Authors

Publication date 23 September 2022

Full work available at URL https://arxiv.org/abs/0806.3012, http://mathnet.ru/eng/vtgu95

zbMATH Keywords

asymptotical efficiencykernel estimatesminimaxnonparametric autoregression

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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(25)

• Diffusion approximation for nonparametric autoregression
• On nonparametric estimation in nonlinear AR(1)-models
• Nonparametric estimation of the distribution of the autoregressive coefficient from panel random-coefficient AR(1) data
• Asymptotically efficient estimates for nonparametric regression models
• Estimation semi-paramétrique d'un modèle autorégressif stationnaire multiindice non nécessairement causal. (Semi-parametric estimation of a stationary, multi-indexed, non necessarily causal autoregressive process)
• Consistent estimation for non-Gaussian non-causal autoregressive processes
• Minimally biased nonparametric regression and autoregression
• Sequential robust estimation for nonparametric autoregressive models
• Sequential adaptive estimators in nonparametric autoregressive models
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• ESTIMATION FOR NONNEGATIVE AUTOREGRESSIVE PROCESSES WITH AN UNKNOWN LOCATION PARAMETER
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• Nonparametric Estimation of Models with Generated Regressors
• Nonparametric Identification of Autoregressions
• Sequential model selection method for nonparametric autoregression
• Estimation of Nonparametric Autoregressive Time Series Models Under Dynamical Constraints
• A Seemingly Unrelated Nonparametric Additive Model with Autoregressive Errors
• Estimating function method for nonnegative autoregressive models
• Nonparametric estimation for an autoregressive model
• Adaptive efficient robust sequential analysis for autoregressive big data models

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