Adaptive estimation in time-series models

• 成果类型: Article
• 署名作者: Drost, FC; Klaassen, CAJ; Werker, BJM
• 署名单位: Tilburg University; Tilburg University; University of Amsterdam
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• 发表日期: 1997
• 页码: 786-817
• 关键词: asymptotically linear estimators; regression-models; ARCH models

摘要

In a framework particularly suited for many time-series models we obtain a LAN result under quite natural and economical conditions. This enables us to construct adaptive estimators for (part of) the Euclidean parameter in these semiparametric models. Special attention is directed to group models in time series with the important subclass of models with time varying location and scale. Our set-up is confronted with the existing literature and, as examples, we reconsider linear regression and ARMA, TAR and ARCH models.