Autoregressive coefficient estimation in nonparametric analysis
DOI10.1111/J.1467-9892.2010.00708.XzbMATH Open1273.62222OpenAlexW2118451006WikidataQ61865759 ScholiaQ61865759MaRDI QIDQ2851985FDOQ2851985
Publication date: 4 October 2013
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2010.00708.x
Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Numerical computation using splines (65D07)
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Cited In (13)
- Oracle-efficient estimation and trend inference in non-stationary time series with trend and heteroscedastic ARMA error
- Polynomial spline confidence bands for time series trend
- EFFICIENT ESTIMATION FOR PERIODIC AUTOREGRESSIVE COEFFICIENTS VIA RESIDUALS
- Asymptotic theory for time series with changing mean and variance
- Nonparametric regression with rescaled time series errors
- On estimation of nonparametric regression models with autoregressive and moving average errors
- Estimation of the autocorrelation coefficient in the presence of a regression trend
- Autoregressive mixture models for clustering time series
- Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases
- Estimating nonlinear additive models with nonstationarities and correlated errors
- Oracle model selection for correlated data via residuals
- Factor and Idiosyncratic Empirical Processes
- Oracally efficient estimation and testing for an ARCH model with trend
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