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Autoregressive coefficient estimation in nonparametric analysis

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  • Q. Shao
  • L. J. Yang

Abstract

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Suggested Citation

  • Q. Shao & L. J. Yang, 2011. "Autoregressive coefficient estimation in nonparametric analysis," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(6), pages 587-597, November.
    • Handle: RePEc:bla:jtsera:v:32:y:2011:i:6:p:587-597
    DOI: j.1467-9892.2010.00708.x
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    File URL: http://hdl.handle.net/10.1111/j.1467-9892.2010.00708.x
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    Cited by:

    1. Benny Ren & Ian Barnett, 2022. "Autoregressive mixture models for clustering time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(6), pages 918-937, November.
    2. Zhong, Chen, 2024. "Oracle-efficient estimation and trend inference in non-stationary time series with trend and heteroscedastic ARMA error," Computational Statistics & Data Analysis, Elsevier, vol. 193(C).
    3. L. Tang & Q. Shao, 2014. "Efficient Estimation For Periodic Autoregressive Coefficients Via Residuals," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(4), pages 378-389, July.
    4. Dalla, Violetta & Giraitis, Liudas & Robinson, Peter M., 2020. "Asymptotic theory for time series with changing mean and variance," Journal of Econometrics, Elsevier, vol. 219(2), pages 281-313.
    5. Qin Shao & Lijian Yang, 2017. "Oracally efficient estimation and consistent model selection for auto-regressive moving average time series with trend," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(2), pages 507-524, March.

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