An efficient estimator for the expectation of a bounded function under the residual distribution of an autoregressive process |
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Authors: | W Wefelmeyer |
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Institution: | (1) Mathematical Institute, University of Cologne, Weyertal 86, 50931 Cologne, Germany |
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Abstract: | Consider a stationary first-order autoregressive process, with i.i.d. residuals following an unknown mean zero distribution. The customary estimator for the expectation of a bounded function under the residual distribution is the empirical estimator based on the estimated residuals. We show that this estimator is not efficient, and construct a simple efficient estimator. It is adaptive with respect to the autoregression parameter. |
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Keywords: | Autoregressive model efficient estimator empirical estimator residual distribution |
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