Nonparametric estimation for an autoregressive model

Details Nonparametric estimation for an autoregressive model Nonparametric estimation for an autoregressive model

2008-06-18

arxiv.org/abs/0806.3012v1

Mathematics

Statistics Theory

14 pages

Scientific paper

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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