Weakly adaptive estimators in explosive autoregression
DOI10.1214/AOS/1176347634zbMATH Open0709.62083OpenAlexW1981273527MaRDI QIDQ921786FDOQ921786
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
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moment conditionsnonstationaryexplosive autoregressiontranslation invariantminimax estimatorsasymptotically minimaxweighted squared error losslog-likelihood processsequence of weakly adaptive Pitman-type estimatorsweakly adaptive estimators
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)
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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