Sequential adaptive estimators in nonparametric autoregressive models

DOI10.1080/07474946.2011.563715MaRDI QIDQ3006707zbMATH OpenOpenAlexFDO

Authors Ouerdia Arkoun

Publication date 20 June 2011

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1004.5199

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Sequential estimation (62L12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: We constuct a sequential adaptive procedure for estimating the autoregressive function at a given point in nonparametric autoregression models with Gaussian noise. We make use of the sequential kernel estimators. The optimal adaptive convergence rate is given as well as the upper bound for the minimax risk.

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Cites work

• scientific article; zbMATH DE number 3576395 (Why is no real title available?)
• Local minimax pointwise estimation of a multivariate density
• Maximum likelihood estimation and model selection for locally stationary processes^∗
• Nonparametric Estimation of a Density of Unknown Smoothness
• On a Problem of Adaptive Estimation in Gaussian White Noise
• On the Kullback-Leibler information divergence of locally stationary processes
• Optimal bandwidth selection in nonparametric regression function estimation

Cited in

(11)

• Cross validation for locally stationary processes
• A truncated estimation method with guaranteed accuracy
• Non-parametric sequential estimation of a regression function based on dependent observations
• Minimally biased nonparametric regression and autoregression
• Sequential robust estimation for nonparametric autoregressive models
• Nonlinear Adaptive Tracking Using Kernel Estimators: Estimation and Test for Linearity
• Sequential model selection method for nonparametric autoregression
• ADAPTATION FOR NONPARAMETRIC ESTIMATORS OF LOCALLY STATIONARY PROCESSES
• Obtaining the best value for money in adaptive sequential estimation
• Adaptive efficient robust sequential analysis for autoregressive big data models
• Aggregation of predictors for nonstationary sub-linear processes and online adaptive forecasting of time varying autoregressive processes

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