ADAPTIVE SEMIPARAMETRIC ESTIMATION IN THE PRESENCE OF AUTOCORRELATION OF UNKNOWN FORM

DOI10.1111/j.1467-9892.1992.tb00094.xzbMath0769.62066OpenAlexW2075823822MaRDI QIDQ4012961

Javier Hidalgo

Publication date: 27 September 1992

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1992.tb00094.x

zbMATH Keywords

asymptotic distributionMonte Carlodisturbancesautoregressionnonlinear functionleast-squares estimateadaptive semiparametric estimationtime series regression modelNadaraya-Watson nonparametric kernel regression estimator

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Asymptotic normality of pseudo-LS estimator for partly linear autoregression models ⋮ Asymptotic properties of some estimators for partly linear stationary autoregressive models ⋮ A semiparametric method for estimating nonlinear autoregressive model with dependent errors ⋮ PARAMETER ESTIMATION IN A PARTLY LINEAR REGRESSION MODEL WITH RANDOM COEFFICIENT AUTOREGRESSIVE ERRORS ⋮ A consistent nonparametric test for serial independence

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