The Annals of Statistics

Adaptive Estimation in Noncausal Stationary AR Processes

E. Gassiat

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Abstract

We consider the estimation problem of the parameter $b$ of a stationary AR($p$) process without any of the usual causality assumptions. The aim of the paper is to derive asymptotic minimax bounds for estimators of $b$. When the distribution of the noise is known, we show LAN properties of the model and derive locally asymptotically minimax (LAM) estimators. The most important results are about the case of unknown distribution: The main result shows that, if one uses the usual parametrization, these bounds depend heavily on the causality or the noncausality of the process, so that adaptive efficient estimation is impossible in the noncausal situation: The scaling factor is shown to give the hardest one-dimensional subproblem, and an unusual scaling is exhibited that could lead to adaptive efficient estimation of the rescaled parameter even in the noncausal case.

Article information

Source
Ann. Statist., Volume 21, Number 4 (1993), 2022-2042.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176349408

Digital Object Identifier
doi:10.1214/aos/1176349408

Mathematical Reviews number (MathSciNet)
MR1245779

Zentralblatt MATH identifier
0791.62089

JSTOR
links.jstor.org

Subjects
Primary: 62F35: Robustness and adaptive procedures
Secondary: 86A15: Seismology 93E12: System identification

Keywords
AR processes noncausal filtering minimax estimation adaptive estimators

Citation

Gassiat, E. Adaptive Estimation in Noncausal Stationary AR Processes. Ann. Statist. 21 (1993), no. 4, 2022--2042. doi:10.1214/aos/1176349408. https://projecteuclid.org/euclid.aos/1176349408


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