Local asymptotic normality for autoregression with infinite order

DOI10.1016/0378-3758(90)90126-FzbMATH Open0778.62083OpenAlexW2014540344MaRDI QIDQ1813482FDOQ1813482

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

Recommendations

• On local asymptotic normality for functional autoregressive processes
• Local asymptotic normality of Hilbertian autoregressive processes
• The local asymptotic normality of a class of generalized random coefficient autoregressive processes
• A characterization of limiting distributions of estimators in an autoregressive process
• Adaptive R-Estimation in Autoregressions

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)

Cites Work

• Title not available (Why is that?)
• Asymptotic methods in statistical decision theory
• Title not available (Why is that?)
• Mathematical theory of statistics. Statistical experiments and asymptotic decision theory
• On adaptive estimation
• Consistent autoregressive spectral estimates
• The asymptotic distribution of the likelihood ratio for autoregressive time series with a regression trend
• Title not available (Why is that?)
• Title not available (Why is that?)
• Asymptotic inference in stationary Gaussian time-series
• Adaptive maximum likelihood estimators of a location parameter
• Title not available (Why is that?)
• Title not available (Why is that?)
• Optimal rank-based procedures for time series analysis: testing an ARMA model against other ARMA models
• On adaptive estimation in stationary ARMA processes
• Asymptotically efficient adaptive rank estimates in location models
• Introduction to time series.
• Title not available (Why is that?)
• Asymptotically efficient nonparametric estimation of functionals of a spectral density function
• Linear serial rank tests for randomness against ARMA alternatives
• Title not available (Why is that?)
• Adaptive estimates for autoregressive processes
• Asymptotic minimax theorems for the sample distribution function
• Title not available (Why is that?)
• Title not available (Why is that?)
• Addendum to ``A third-order optimum property of the maximum likelihood estimator
• On the Asymptotic Efficiency of Median Unbiased Estimates
• Title not available (Why is that?)

Cited In (14)

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

This page was built for publication: Local asymptotic normality for autoregression with infinite order

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1813482)