Efficient inference for autoregressive coefficients in the presence of trends

DOI10.1016/J.JMVA.2012.07.016zbMATH Open1255.62279DBLPjournals/ma/QiuSY13OpenAlexW2023035647WikidataQ61865753 ScholiaQ61865753MaRDI QIDQ1931850FDOQ1931850

Authors: Debin Qiu, Q. Shao, L. Yang 

Publication date: 16 January 2013

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2012.07.016

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zbMATH Keywords

local polynomialmoving averageautoregressive time seriesoracle efficiencyYule-Walker estimator

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited In (13)

• Oracle-efficient estimation and trend inference in non-stationary time series with trend and heteroscedastic ARMA error
• Efficient inference for parameters of unobservable periodic autoregressive time series
• Time-varying additive model with autoregressive errors for locally stationary time series
• Title not available (Why is that?)
• Towards uniformly efficient trend estimation under weak/strong correlation and non-stationary volatility
• On estimation of nonparametric regression models with autoregressive and moving average errors
• Efficient estimation for periodic autoregressive coefficients via residuals
• Spike detection for calcium activity
• Autoregressive mixture models for clustering time series
• Autoregressive coefficient estimation in nonparametric analysis
• Oracally Efficient Estimation and Consistent Model Selection for Auto-Regressive Moving Average Time Series with Trend
• Statistical inference for ARMA time series with moving average trend
• Oracally efficient estimation and testing for an ARCH model with trend

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