Nonparametric estimation for an autoregressive model

Nonparametric estimation for an autoregressive model

The paper deals with the nonparametric estimation problem at a given fixed point for an autoregressive model with unknown distributed noise. Kernel estimate modifications are proposed. Asymptotic minimax and efficiency properties for proposed estimators are shown.

Bibliographic Details
Published in:Вестник Томского государственного университета. Математика и механика № 2. С. 20-30
Main Author: Arkoun, O.
Other Authors: Pergamenshchikov, Serguei M.
Format: Article
Language:English
Subjects:
непараметрическое оценивание
модели авторегрессии
асимптотическая эффективность
асимптотическая минимаксная эффективность
статьи в журналах
Online Access:http://vital.lib.tsu.ru/vital/access/manager/Repository/koha:000563217
Перейти в каталог НБ ТГУ
Description
Summary:The paper deals with the nonparametric estimation problem at a given fixed point for an autoregressive model with unknown distributed noise. Kernel estimate modifications are proposed. Asymptotic minimax and efficiency properties for proposed estimators are shown.
Bibliography:Библиогр.: 10 назв.
ISSN:1998-8621

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