On adaptive estimation in stationary ARMA processes

DOI10.1214/aos/1176350256zbMath0616.62042OpenAlexW2056609565MaRDI QIDQ1821447

Publication date: 1987

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

Full work available at URL: https://doi.org/10.1214/aos/1176350256

zbMATH Keywords

LAM kernel estimators local asymptotic normality simulation study LAN autoregressive moving average log-likelihood ratio score function optimality criterion innovation distribution locally asymptotically minimax stationary ARMA processes strongly adaptive estimators

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) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items

Adaptive R-Estimation in Autoregressions, Semiparametric Efficient Estimation of the Mean of a Time Series in the Presence of Conditional Heterogeneity of Unknown Form, SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS, A NONPARAMETRIC REGRESSION ESTIMATOR THAT ADAPTS TO ERROR DISTRIBUTION OF UNKNOWN FORM, Estimating invariant laws of linear processes by \(U\)-statistics., Semiparametrically efficient rank-based inference for shape. II: Optimal \(R\)-estimation of shape, GENERALIZED SIGNED-RANK ESTIMATORS FOR AUTOREGRESSION PARAMETERS, Efficient estimation in (PINAR(1)) model: semiparametric case, Local asymptotic normality for multivariate nonlinear AR processes, Comment on `Adaptive estimation in time series regression models' by D. G. Steigerwald, Reply to B. M. Pötscher's comment on `Adaptive estimation in time series regression models', NON-SINGULARITY OF FISHER INFORMATION FOR AUTOREGRESSIVE MOYING-AVERAGE PROCESSES, On some validity-robust tests for the homogeneity of concentrations on spheres, On the efficiency of estimators of a spectral density multivariate parameter, R-estimation for arma models, Adaptive estimation in time-series models, ADAPTIVE NONPARAMETRIC REGRESSION WITH CONDITIONAL HETEROSKEDASTICITY, Efficient Estimation of Auto-Regression Parameters and Innovation Distributions for Semiparametric Integer-Valued AR(p) Models, Efficient ANOVA for directional data, Local asymptotic normality for long-memory process with strong mixing noises, Efficient estimation in semiparametric GARCH models, Efficient estimation in a semiparametric additive regression model with autoregressive errors, Semi-parametric estimation of the autoregressive parameter in non-Gaussian Ornstein–Uhlenbeck processes, Efficient estimation in periodic INAR(1) model: parametric case, A Cramér-von Mises test for symmetry of the error distribution in asymptotically stationary stochastic models, Adaptive test for periodicity in restrictive EXPAR(p) models, Optimal rank-based testing for principal components, Efficient inference about the tail weight in multivariate Student \(t\) distributions, Adaptive Estimation in Multiple Time Series With Independent Component Errors, Optimal rank-based tests for common principal components, A class of optimal tests for symmetry based on local Edgeworth approximations, Local robustness of sign tests in AR(1) against outliers, Rank-based tests for autoregressive against bilinear serial dependence, Optimal pseudo-Gaussian and rank-based random coefficient detection in multiple regression, Maximum likelihood estimation for noncausal autoregressive processes, On adaptive estimation in nonstationary ARMA models with GARCH errors, Efficient detection of random coefficients in autoregressive models, Semiparametrically Efficient Inference Based on Signs and Ranks for Median-Restricted Models, Optimal rank-based tests for homogeneity of scatter, Deviation probability bound for martingales with applications to statistical estimation, Semiparametrically efficient inference based on signed ranks in symmetric independent component models, Estimation of the distribution function of noise in stationary processes, SEMIPARAMETRIC EFFICIENCY BOUND IN TIME-SERIES MODELS FOR CONDITIONAL QUANTILES, Optimal tests for elliptical symmetry: specified and unspecified location, Uniformly adaptive estimation for models with arma errors, R-estimation in semiparametric dynamic location-scale models, Statistical estimation errors of VaR under ARCH returns, Bispectra and phase of non-Gaussian linear processes, Semiparametric efficient adaptive estimation of the GJR-GARCH model, Pseudo-Gaussian and rank-based optimal tests for random individual effects in large \(n\) small \(T\) panels, Adaptive estimation in time series regression models, TIME SERIES RESIDUALS WITH APPLICATION TO PROBABILITY DENSITY ESTIMATION, An approximate maximum likelihood estimation for non-Gaussian non-minimum phase moving average processes, A likelihood based estimator for vector autoregressive processes, Functional convergence and optimality of plug-in estimators for stationary densities of moving average processes, Affine-invariant aligned rank tests for the multivariate general linear model with VARMA errors, Inference on the shape of elliptical distributions based on the MCD, A new concept of quantiles for directional data and the angular Mahalanobis depth, Some developments in semiparametric statistics, Parameter estimation for some time series models without contiguity, BOOTSTRAPPING STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE MODELS, Adaptive Test for Periodicity in Autoregressive Conditional Heteroskedastic Processes, Asymptotic optimal inference for a class of nonlinear time series models, Optimal test forPAR(1) dependence againstPSETAR(2,1,1) models with specified threshold, Approximate maximum likelihood estimation in linear regression, On stochastic estimation, Test for periodicity in restrictive EXPAR models, ROBUST OPTIMAL TESTS FOR CAUSALITY IN MULTIVARIATE TIME SERIES, Adaptive R-estimation in a linear regression model with ARMA errors, The cost of not knowing the radius, Local asymptotic normality for autoregression with infinite order, A bootstrap approach to test the conditional symmetry in time series models, Adaptive estimation in a random coefficient autoregressive model, Detection of EXPAR nonlinearity in the presence of a nuisance unidentified under the null hypothesis, On optimal tests for circular reflective symmetry about an unknown central direction, Optimal detection of Fechner-asymmetry, Le Cam optimal tests for symmetry against Ferreira and Steel's general skewed distributions, Optimal tests for autoregressive models based on autoregression rank scores, Adaptiveness of the empirical distribution of residuals in semi-parametric conditional location scale models, Adaptive Estimation of Causal Periodic Autoregressive Model, Adaptive Test for Periodicity in Self-Exciting Threshold Autoregressive Models, Semiparametrically point-optimal hybrid rank tests for unit roots, Asymptotic Distribution of the Estimated BDS Statistic from The Residuals of Location-Scale Type Processes, Local asymptotic normality for regression models with long-memory disturbance, Adaptive estimation of cointegrating regressions with ARMA errors, Efficient and adaptive post-model-selection estimators, Rate of convergence in the central limit theorem for parameter estimation in a causal, invertible ARMA(p, q) model, Locally asymptotically optimal tests for AR\((p)\) against diagonal bilinear dependence, Power transformation and threshold modeling for ARCH innovations with applications to tests for ARCH structure., Efficiency combined with simplicity: new testing procedures for generalized inverse Gaussian models, LAN theorem for non-Gaussian locally stationary processes and its applications, Asymptotic linearity of serial and nonserial multivariate signed rank statistics, Residual-based rank specification tests for AR-GARCH type models, Efficiency improvements in inference on stationary and nonstationary fractional time series, Estimation of time series models using residuals dependence measures, Rank-based testing for semiparametric VAR models: a measure transportation approach, Local asymptotic normality for multivariate linear processes, R-estimation in autoregression with square-integrable score function, Tests against inequality constraints in semiparametric models, Partially adaptive estimation of nonlinear models via a normal mixture, Optimal rank-based detection of exponential component in autoregressive models, Variance bounds for estimators in autoregressive models with constraints, Time series AR(1) model for short-tailed distributions, Testing Symmetry of the Error Distribution in Nonlinear Heteroscedastic Models, Likelihood Ratio Processes under Nonstandard Settings, Aligned signed-rank tests of a linear autoregressive model against an exponential autoregressive one, LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS, Locally asymptotically efficient estimation for parametric PINAR(p) models, Efficient estimation in semiparametric self-exciting threshold INAR processes, Efficient pseudo-Gaussian and rank-based detection of random regression coefficients, Adaptive Estimation of Periodic First-Order Threshold Autoregressive Model, Semiparametric Time Series Models with Log‐concave Innovations: Maximum Likelihood Estimation and its Consistency, A consistent test for conditional symmetry in time series models, Construction of credible intervals for nonlinear regression models with unknown error distributions, Plug-in estimators for higher-order transition densities in autoregression, Optimal tests for random effects in linear mixed models