Sequential model selection method for nonparametric autoregression
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Publication:5215360
Abstract: In this paper for the first time the nonparametric autoregression estimation problem for the quadratic risks is considered. To this end we develop a new adaptive sequential model selection method based on the efficient sequential kernel estimators proposed by Arkoun and Pergamenshchikov (2016). Moreover, we develop a new analytical tool for general regression models to obtain the non asymptotic sharp or- acle inequalities for both usual quadratic and robust quadratic risks. Then, we show that the constructed sequential model selection proce- dure is optimal in the sense of oracle inequalities.
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- scientific article; zbMATH DE number 777603 (Why is no real title available?)
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Cited in
(4)- Sequential robust estimation for nonparametric autoregressive models
- Consistent model selection criteria and goodness-of-fit test for common time series models
- Adaptive efficient robust sequential analysis for autoregressive big data models
- Sequential adaptive estimators in nonparametric autoregressive models
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