Nonparametric estimation for an autoregressive model

MaRDI QIDQ6209954arXivFDO

Authors Ouerdia Arkoun, Serguei Markovich Pergamenshchikov

Publication date 18 June 2008

Published in arXiv

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)

arXiv classification

math.STstat.TH

Abstract: The paper deals with the nonparametric estimation problem at a given fixed point for an autoregressive model with unknown distributed noise. Kernel estimate modifications are proposed. Asymptotic minimax and efficiency properties for proposed estimators are shown.

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