Local asymptotic normality for autoregression with infinite order

DOI10.1016/0378-3758(90)90126-FzbMath0778.62083MaRDI QIDQ1813482

Jens-Peter Kreiss

Publication date: 25 June 1992

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

zbMATH Keywords

simulation; characterization; adaptive estimation; locally asymptotically normal; local parametrization; local asymptotically minimax estimates; stationary autoregressive process with infinite order

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

62M09: Non-Markovian processes: estimation

62F35: Robustness and adaptive procedures (parametric inference)

60G10: Stationary stochastic processes

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