Nonparametric estimation for an autoregressive model
Statistics Theory
2008-06-19 v1 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.
Cite
@article{arxiv.0806.3012,
title = {Nonparametric estimation for an autoregressive model},
author = {Ouerdia Arkoun and Serguei Pergamenchtchikov},
journal= {arXiv preprint arXiv:0806.3012},
year = {2008}
}
Comments
14 pages