Sequential robust estimation for nonparametric autoregressive models

DOI10.1080/07474946.2016.1238261MaRDI QIDQ2958401zbMATH OpenOpenAlexFDO

Authors

Publication date 1 February 2017

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1304.4848

zbMATH Keywords

adaptive estimationnonparametric autoregressionrobust efficiencysequential kernel estimator

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Sequential estimation (62L12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: We construct efficient robust truncated sequential estimators for the pointwise estimation problem in nonparametric autoregression models with smooth coefficients. For Gaussian models we propose an adaptive procedure based on the constructed sequential estimators. The minimax nonadaptive and adaptive convergence rates are established. It turns out that in this case these rates are the same as for regression models.

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Cited in

(10)

• On robust sequential parameters estimating
• Cross validation for locally stationary processes
• Robust adaptive efficient estimation for semi-Markov nonparametric regression models
• A truncated estimation method with guaranteed accuracy
• Minimally biased nonparametric regression and autoregression
• Sequential adaptive estimators in nonparametric autoregressive models
• Asymptotically optimal robust information-based quick detection for general stochastic models with nonparametric postchange uncertainty
• Sequential model selection method for nonparametric autoregression
• ADAPTATION FOR NONPARAMETRIC ESTIMATORS OF LOCALLY STATIONARY PROCESSES
• Adaptive efficient robust sequential analysis for autoregressive big data models

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