The Annals of Statistics
- Ann. Statist.
- Volume 25, Number 2 (1997), 786-817.
Adaptive estimation in time-series models
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.
Ann. Statist., Volume 25, Number 2 (1997), 786-817.
First available in Project Euclid: 12 September 2002
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Drost, Feike C.; Klaassen, Chris A. J.; Werker, Bas J. M. Adaptive estimation in time-series models. Ann. Statist. 25 (1997), no. 2, 786--817. doi:10.1214/aos/1031833674. https://projecteuclid.org/euclid.aos/1031833674