A characterization of limiting distributions of estimators in an autoregressive process

DOI10.1007/BF02482506zbMath0595.62088MaRDI QIDQ1077854

B. George

Publication date: 1986

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

representation theoremlocal asymptotic normalityriskadaptive estimatorsfirst order autoregressive modelcharacterization of limiting distributionslocal asymptotic minimax boundlocal likelihood ratio

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General second-order stochastic processes (60G12) Characterization and structure theory of statistical distributions (62E10)

Related Items (6)

An efficient estimator for the expectation of a bounded function under the residual distribution of an autoregressive process ⋮ Adaptive estimators for parameters of the autoregression function of a Markov chain ⋮ Large deviations and estimation in infinite-dimensional models ⋮ Quasi-likelihood models and optimal inference ⋮ Regression with autoregressive errors-some asymptotic results ⋮ Oracally efficient estimation of autoregressive error distribution with simultaneous confidence band

Cites Work

• Information and asymptotic efficiency in parametric-nonparametric models
• Asymptotic efficiency of statistical estimators: concepts and higher order asymptotic efficiency
• On adaptive estimation
• Asymptotic optimality of the product limit estimator
• On the asymptotic efficiency of estimators in an autoregressive process
• Adaptive estimates for autoregressive processes
• Robust location estimates
• On the limiting distribution of a sequence of estimators with uniformity property
• ON THE ASYMPTOTIC EFFICIENCY OF ESTIMATORS OF THE PARAMETERS OF AN ARMA PROCESS
• On the Efficiency of a Class of Non-Parametric Estimates
• Asymptotic minimax theorems for the sample distribution function
• A characterization of limiting distributions of regular estimates
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