Plug-in estimators for higher-order transition densities in autoregression
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Publication:5851015
DOI10.1051/ps:2008001zbMath1180.62051OpenAlexW2147292302MaRDI QIDQ5851015
Anton Schick, Wolfgang Wefelmeyer
Publication date: 21 January 2010
Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/104414
empirical likelihoodOwen estimatorleast dispersed regular estimatorefficient influence functionstochastic expansion of residual-based kernel density estimator
Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Functional limit theorems; invariance principles (60F17)
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