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| HAL: hal-00368182, version 1 |
| arXiv: 0806.3012 |
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| Nonparametric estimation for an autoregressive model |
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| Ouerdia Arkoun 1Serguei Pergamenchtchikov 1 |
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| (2008-06-18) |
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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. Asymptotic minimax and efficiency properties for proposed estimators are shown. |
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| 1: | Laboratoire de Mathématiques Raphaël Salem (LMRS) |
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CNRS : UMR6085 – Université de Rouen |
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| Subject | : | Mathematics/Statistics |
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| asymptotical efficiency – kernel estimates – minimax – nonparametric autoregression. |
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| Fulltext link: |
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| http://fr.arXiv.org/abs/0806.3012 |
| hal-00368182, version 1 | |
| http://hal.archives-ouvertes.fr/hal-00368182 | |
| oai:hal.archives-ouvertes.fr:hal-00368182 | |
| From: Ouerdia Arkoun | |
| Submitted on: Friday, 13 March 2009 22:53:18 | |
| Updated on: Friday, 13 March 2009 22:53:18 | |
