Local asymptotic normality for autoregression with infinite order

DOI10.1016/0378-3758(90)90126-FMaRDI QIDQ1813482zbMATH OpenOpenAlexFDO

Authors Jens-Peter Kreiß

Publication date 25 June 1992

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0378-3758(90)90126-f

zbMATH Keywords

simulationadaptive estimationcharacterizationlocally asymptotically normallocal parametrizationlocal asymptotically minimax estimatesstationary autoregressive process with infinite order

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09) Robustness and adaptive procedures (parametric inference) (62F35) Stationary stochastic processes (60G10)

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Cited in

(14)

• On local asymptotic normality for functional autoregressive processes
• Local asymptotic normality for multivariate linear processes
• Local asymptotic normality for long-memory process with strong mixing noises
• Locally asymptotic normality of parametric models of time series
• Local asymptotic normality of Hilbertian autoregressive processes
• LAN theorem for non-Gaussian locally stationary processes and its applications
• Likelihood Ratio Processes under Nonstandard Settings
• Local asymptotic normality for bifurcating autoregressive processes and related asymptotic inference
• Local asymptotic normality for multivariate nonlinear AR processes
• Some developments in semiparametric statistics
• Root n consistent and optimal density estimators for moving average processes
• Tests in functional autoregressive processes via local asymptotic normality condition
• Stability and asymptotics for autoregressive processes
• Asymptotic Distribution of the Estimated BDS Statistic from The Residuals of Location-Scale Type Processes

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