Sample splitting with Markov chains

DOI10.2307/3318601zbMath0997.62062OpenAlexW1974531025MaRDI QIDQ5933650

Anton Schick

Publication date: 14 November 2002

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1080572338

zbMATH Keywords

ergodicitycontiguityefficient estimationheteroscedastic autoregressive modelsemi-arametric modelsstationary Markov chainsV-uniform ergodicityweighted least-squares estimation

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05)

Related Items (5)

Variance bounds for estimators in autoregressive models with constraints ⋮ Some developments in semiparametric statistics ⋮ Parametric and Semi-Parametric Efficient Tests for Parameter Instability ⋮ Approximate regenerative-block bootstrap for Markov chains ⋮ Comments on: Subsampling weakly dependent time series and application to extremes

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