Sequential robust estimation for nonparametric autoregressive models. Issue 4 (1st October 2016)

• Record Type: Journal Article
• Authors: Arkoun, Ouerdia; Pergamenchtchikov, Serguei
• Is Part Of: Sequential analysis. Volume 35:Issue 4(2016)
• Page Start: 489
• Page End: 515
• Publication Date: 2016-10-01
• Subjects: Adaptive estimation -- nonparametric autoregression -- robust efficiency -- sequential kernel estimator; 62G07 -- 62G08 -- 62G20; Sequential analysis -- Periodicals; 519.54
• DOI: 10.1080/07474946.2016.1238261
• Languages: English
• ISSNs: 0747-4946

Abstract

ABSTRACT: We construct a robust truncated sequential estimator for the pointwise estimation problem in nonparametric autoregression models with smooth coefficients. For Gaussian models we propose an adaptive procedure based on the constructed sequential estimators. The minimax nonadaptive and adaptive convergence rates are established. It turns out that in this case these rates are the same as for regression models.