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Nonparametric estimation for an autoregressive model · arXivDesk

0806.3012Jun 18, 200814 pages

Nonparametric estimation for an autoregressive model

Ouerdia Arkoun, Serguei Pergamenchtchikov

Statistics Theory

Abstract

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.

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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.

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Researchers working in math.ST and adjacent areas.

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The paper addresses: 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.

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Author comment: 14 pages

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