Sample splitting with Markov chains

DOI10.2307/3318601MaRDI QIDQ5933650zbMATH OpenOpenAlexFDO

Authors 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

contiguityefficient estimationergodicityheteroscedastic autoregressive modelsemi-arametric modelsstationary Markov chainsV-uniform ergodicityweighted least-squares estimation

Mathematics Subject Classification ID

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

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Cited in

(5)

• Approximate regenerative-block bootstrap for Markov chains
• Parametric and semi-parametric efficient tests for parameter instability
• Variance bounds for estimators in autoregressive models with constraints
• Comments on: Subsampling weakly dependent time series and application to extremes
• Some developments in semiparametric statistics

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