Efficient prediction for linear and nonlinear autoregressive models

DOI10.1214/009053606000000812MaRDI QIDQ869982zbMATH OpenOpenAlexFDO

Authors Ursula U. Müller, Anton Schick, Wolfgang Wefelmeyer

Publication date 12 March 2007

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0702701

zbMATH Keywords

empirical likelihoodfunctional central limit theoremDonsker classAR modelOwen estimatorEXPAR modelkernel smoothed empirical processplug-in-estimatorSETAR modeluniformly integrable bracketing entropy, pseudo-observationuniformly integrable entropyweighted density estimator

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Functional limit theorems; invariance principles (60F17)

Abstract: Conditional expectations given past observations in stationary time series are usually estimated directly by kernel estimators, or by plugging in kernel estimators for transition densities. We show that, for linear and nonlinear autoregressive models driven by independent innovations, appropriate smoothed and weighted von Mises statistics of residuals estimate conditional expectations at better parametric rates and are asymptotically efficient. The proof is based on a uniform stochastic expansion for smoothed and weighted von Mises processes of residuals. We consider, in particular, estimation of conditional distribution functions and of conditional quantile functions.

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Cited in

(10)

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