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April 1997 Adaptive estimation in time-series models
Feike C. Drost, Chris A. J. Klaassen, Bas J. M. Werker
Ann. Statist. 25(2): 786-817 (April 1997). DOI: 10.1214/aos/1031833674


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.


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Feike C. Drost. Chris A. J. Klaassen. Bas J. M. Werker. "Adaptive estimation in time-series models." Ann. Statist. 25 (2) 786 - 817, April 1997.


Published: April 1997
First available in Project Euclid: 12 September 2002

zbMATH: 0941.62093
MathSciNet: MR1439324
Digital Object Identifier: 10.1214/aos/1031833674

Primary: 62G05
Secondary: 62F12 , 62M10

Keywords: adaptive estimation , LAN in time series , semiparametrics

Rights: Copyright © 1997 Institute of Mathematical Statistics


Vol.25 • No. 2 • April 1997
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