Weakly adaptive estimators in explosive autoregression
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Publication:921786
DOI10.1214/aos/1176347634zbMath0709.62083OpenAlexW1981273527MaRDI QIDQ921786
Hira L. Koul, George 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
minimax estimatorsnonstationaryexplosive autoregressionmoment conditionstranslation invariantweighted squared error lossasymptotically minimaxlog-likelihood processsequence of weakly adaptive Pitman-type estimatorsweakly adaptive estimators
Asymptotic properties of parametric estimators (62F12) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)
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