Adaptive estimators for parameters of the autoregression function of a Markov chain
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Publication:1361765
DOI10.1016/S0378-3758(96)00079-1zbMath0877.62081MaRDI QIDQ1361765
Publication date: 6 November 1997
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Markov chainefficient estimatorquasi-likelihoodmisspecificationautoregression functionweighted nonlinear least-squares estimator
Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Robustness and adaptive procedures (parametric inference) (62F35) Markov processes: estimation; hidden Markov models (62M05)
Related Items (3)
Nonparametric estimating equations based on a penalized information criterion ⋮ Variance bounds for estimators in autoregressive models with constraints ⋮ Data-driven smooth tests for the martingale difference hypothesis
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