Nonparametric estimation for an autoregressive model
classification
🧮 math.ST
stat.TH
keywords
autoregressiveestimationmodelnonparametricproposedasymptoticdealsdistributed
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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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