W. Wefelmeyer, 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, 46(2), 1994, pp. 309-315
Citations number
19
Categorie Soggetti
Statistic & Probability",Mathematics,"Statistic & Probability
Consider a stationary first-order autoregressive process, with i.i.d.
residuals following an unknown mean zero distribution. The customary e
stimator for the expectation of a bounded function under the residual
distribution is the empirical estimator based on the estimated residua
ls. We show that this estimator is not efficient, and construct a simp
le efficient estimator. It is adaptive with respect to the autoregress
ion parameter.