Asymptotically optimal estimation in misspecified time series models

DOI10.1214/aos/1032526951zbMath0865.62063MaRDI QIDQ1816966

Wolfgang Wefelmeyer, Rainer Dahlhaus

Publication date: 29 January 1997

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1032526951

zbMATH Keywords

efficiency; stationary process; kernel estimator; minimum distance estimates; asymptotically efficient estimation; Gaussian maximum likelihood estimate; \(h\)-step prediction error; misspecified parametric time series model

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62G07: Density estimation

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

62G20: Asymptotic properties of nonparametric inference

Related Items

Selection between models through multi-step-ahead forecasting, Point estimation with exponentially tilted empirical likelihood, A local spectral approach for assessing time series model misspecification, Modeling of time series arrays by multistep prediction or likelihood methods., Convex models, MLE and misspecification, Distribution-free specification tests for dynamic linear models, Optimality of estimators for misspecified semi-Markov models

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