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An efficient estimator for the expectation of a bounded function under the residual distribution of an autoregressive process

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  • W. Wefelmeyer

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  • W. Wefelmeyer, 1994. "An efficient estimator for the expectation of a bounded function under the residual distribution of an autoregressive process," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 46(2), pages 309-315, June.
    • Handle: RePEc:spr:aistmt:v:46:y:1994:i:2:p:309-315
    DOI: 10.1007/BF01720587
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    References listed on IDEAS

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    1. Masafumi Akahira, 1976. "On the asymptotic efficiency of estimators in an autoregressive process," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 28(1), pages 35-48, December.
    2. J. Kreiss, 1991. "Estimation of the distribution function of noise in stationary processes," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 38(1), pages 285-297, December.
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    Cited by:

    1. Gabe Chandler & Wolfgang Polonik, 2017. "Residual Empirical Processes and Weighted Sums for Time-Varying Processes with Applications to Testing for Homoscedasticity," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(1), pages 72-98, January.

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