Efficient estimation in a semiparametric autoregressive model

DOI10.1023/A:1009950813472MaRDI QIDQ1567089zbMATH OpenFDO

Authors Anton Schick

Publication date 13 May 2002

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

zbMATH Keywords

ergodicityefficiencycontiguitylocal asymptotic normalitysample splittinglocal asymptotic minimaxitystatinary Markov chainsV-uniform ergodicity

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(9)

• Efficient estimation in smooth threshold autoregressive(1) models
• scientific article; zbMATH DE number 5931621 (Why is no real title available?)
• Some developments in semiparametric statistics
• Nearly Efficient Estimation of Time Series Models with Predetermined, but not Exogenous, Instruments
• Estimation of the autocorrelation coefficient in the presence of a regression trend
• Efficient estimation of the semiparametric spatial autoregressive model
• Semiparametric estimation of regression functions in autoregressive models
• Efficient estimator for time series
• Root-\(n\) consistent estimation of the marginal density in semiparametric autoregressive time series models

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