中文

On recursive estimation for time varying autoregressive processes

统计理论 2007-06-13 v1 统计理论

摘要

This paper focuses on recursive estimation of time varying autoregressive processes in a nonparametric setting. The stability of the model is revisited and uniform results are provided when the time-varying autoregressive parameters belong to appropriate smoothness classes. An adequate normalization for the correction term used in the recursive estimation procedure allows for very mild assumptions on the innovations distributions. The rate of convergence of the pointwise estimates is shown to be minimax in β\beta-Lipschitz classes for 0<β10<\beta\leq1. For 1<β21<\beta\leq 2, this property no longer holds. This can be seen by using an asymptotic expansion of the estimation error. A bias reduction method is then proposed for recovering the minimax rate.

关键词

引用

@article{arxiv.math/0603047,
  title  = {On recursive estimation for time varying autoregressive processes},
  author = {Eric Moulines and Pierre Priouret and François Roueff},
  journal= {arXiv preprint arXiv:math/0603047},
  year   = {2007}
}

备注

Published at http://dx.doi.org/10.1214/009053605000000624 in the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org)