Sequential robust efficient estimation for nonparametric autoregressive models

Ouerdia Arkoun; Serguei Pergamenchtchikov

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arXiv · 1304.4848

Sequential robust efficient estimation for nonparametric autoregressive models

Ouerdia Arkoun·Serguei Pergamenchtchikov

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Abstract

We construct efficient robust truncated sequential estimators for the pointwise estimation problem in nonparametric autoregression models with smooth coefficients. For Gaussian models we propose an adaptive procedure based on the constructed sequential estimators. The minimax nonadaptive and adaptive convergence rates are established. It turns out that in this case these rates are the same as for regression models.

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Ouerdia Arkoun, Serguei Pergamenchtchikov. 2013-04-17. Sequential robust efficient estimation for nonparametric autoregressive models. https://arxiv.org/abs/1304.4848

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