AN EFFICIENT ESTIMATOR FOR THE EXPECTATION OF A BOUNDED-FUNCTION UNDER THE RESIDUAL DISTRIBUTION OF AN AUTOREGRESSIVE PROCESS

Authors
WEFELMEYER W
Citation
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
Journal title
Annals of the Institute of Statistical Mathematics → ACNP
ISSN journal
00203157
Volume
46
Issue
2
Year of publication
1994
Pages
309 - 315
Database
ISI
SICI code
0020-3157(1994)46:2<309:AEEFTE>2.0.ZU;2-R
Abstract
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.