Weakly adaptive estimators in explosive autoregression

DOI10.1214/AOS/1176347634MaRDI QIDQ921786zbMATH OpenOpenAlexFDO

Authors Hira L. Koul, G. Ch. Pflug

Publication date 1990

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

Full work available at URL https://doi.org/10.1214/aos/1176347634

zbMATH Keywords

moment conditionsnonstationaryexplosive autoregressiontranslation invariantminimax estimatorsasymptotically minimaxweighted squared error losslog-likelihood processsequence of weakly adaptive Pitman-type estimatorsweakly adaptive estimators

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(8)

• On asymptotic minimaxity of fixed accuracy estimators for autoregression parameters. II: Purely explosive process.
• The statistical work of Lucien Le Cam.
• On adaptive estimation in nonstationary ARMA models with GARCH errors
• Adaptive estimation in a random coefficient autoregressive model
• Deviation probability bound for martingales with applications to statistical estimation
• Asymptotic distributions of some robust scale estimators in explosive AR(1) model
• Limiting experiments and asymptotic bounds on the performance of sequence of estimators
• Limit theory and bootstrap for explosive and partially explosive autoregression

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