Uniformly adaptive estimation for models with arma errors

DOI10.1080/07474939708800395MaRDI QIDQ4373275zbMATH OpenOpenAlexWikidataFDO

Authors Douglas G. Steigerwald

Publication date 14 June 1999

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474939708800395

zbMATH Keywords

ARMAsemiparametric estimatoruniform convergenceuniformly adaptive

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) Density estimation (62G07) General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Adaptive estimation in time series regression models
• Cramer-type conditions and quadratic mean differentiability
• scientific article; zbMATH DE number 3714796 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Information and asymptotic efficiency in parametric-nonparametric models
• On adaptive estimation
• On adaptive estimation in stationary ARMA processes
• On estimation and adaptive estimation for locally asymptotically normal families
• On the Assumptions Used to Prove Asymptotic Normality of Maximum Likelihood Estimates

Cited in

(2)

• Adaptive identification of a modified ARMA lattice model
• Adaptive R-estimation in a linear regression model with ARMA errors

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