O. Arkoun, S. M. Pergamenshchikov, “Nonparametric Estimation for an Autoregressive Model”, Vestn. Tomsk. Gos. Univ. Mat. Mekh., 2008, Number 2(3),Pages <nobr>20

This article is cited in 1 paper

MATHEMATICS

Nonparametric Estimation for an Autoregressive Model

O. Arkoun^ab, S. M. Pergamenshchikov^ab

^a Université de Rouen
^b Laboratoire de Mathematiques Raphael Salem

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.

Keywords: asymptotical efficiency, kernel estimates, minimax, nonparametric autoregression.

UDC: 519.2

MSC: Primary 62G07, 62G08; Secondary 62G20

Accepted: June 4, 2008

Language: English