Adaptive estimation in noncausal stationary AR processes

DOI10.1214/AOS/1176349408MaRDI QIDQ1317262zbMATH OpenOpenAlexFDO

Authors Elisabeth Gassiat

Publication date 20 July 1994

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176349408

zbMATH Keywords

adaptive efficient estimationasymptotic minimax boundscausalityhardest one-dimensional subproblemLAN propertieslocally asymptotically minimax estimatorsnoncausal filteringnoncausalityscaling factorstationary \(\text{AR} (p)\) process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Robustness and adaptive procedures (parametric inference) (62F35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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