Nonparametric estimation for an autoregressive model

2008/06/18 by Ouerdia Arkoun, Serguei Pergamenchtchikov, Arkoun, Ouerdia +1
Mathematics · #FOS: Mathematics #Statistical Methods and Inference #Statistics Theory (math.ST)

paper · pdf · doi:10.48550/arxiv.0806.3012

openalex publication_date 2008/06/18 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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.

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