Asymptotic properties of some estimators for partly linear stationary autoregressive models

DOI10.1080/03610929508831599MaRDI QIDQ4337045zbMATH OpenOpenAlexFDO

Authors Jiti Gao

Publication date 24 August 1997

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610929508831599

zbMATH Keywords

kernel estimationasymptotic propertypartly linear autoregressive model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• A two-stage spline smoothing method for partially linear models
• ADAPTIVE SEMIPARAMETRIC ESTIMATION IN THE PRESENCE OF AUTOCORRELATION OF UNKNOWN FORM
• An iterated logarithm result for martingales and its application in estimation theory for autoregressive processes
• Asymptotic Normality of Series Estimators for Nonparametric and Semiparametric Regression Models
• Convergence of stochastic processes
• Convergence rates for parametric components in a partly linear model
• Convergence rates for partially splined models
• Root-N-Consistent Semiparametric Regression
• Strong Uniform Convergence Rates for Some Robust Equivariant Nonparametric Regression Estimates for Mixing Processes

Cited in

(6)

• PARAMETER ESTIMATION IN A PARTLY LINEAR REGRESSION MODEL WITH RANDOM COEFFICIENT AUTOREGRESSIVE ERRORS
• Asymptotic Inference in the Random Coefficient Autoregressive Model with Time-functional Variance Noises
• Empirical likelihood-based subset selection for partially linear autoregressive models
• Spline estimation for partially linear autoregressive models with exogenous variables
• On a partly linear autoregressive model with moving average errors
• Asymptotic normality of pseudo-LS estimator for partly linear autoregression models

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