Sequential model selection method for nonparametric autoregression

DOI10.1080/07474946.2019.1686883zbMATH Open1430.62075arXiv1809.02241OpenAlexW3003678345MaRDI QIDQ5215360FDOQ5215360

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Publication date: 10 February 2020

Published in: Sequential Analysis (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1809.02241

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zbMATH Keywords

model selectionnonparametric estimationnonparametric autoregressionsharp oracle inequalitiesrobust risknonasymptotic estimation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential estimation (62L12)

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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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