Autoregressive coefficient estimation in nonparametric analysis
Version of Record online: 24 JAN 2011
© 2011 Blackwell Publishing Ltd
Journal of Time Series Analysis
Volume 32, Issue 6, pages 587–597, November 2011
How to Cite
Shao, Q. and Yang, L. J. (2011), Autoregressive coefficient estimation in nonparametric analysis. Journal of Time Series Analysis, 32: 587–597. doi: 10.1111/j.1467-9892.2010.00708.x
Corrections have been added after publication 24 Jan 2011.
- Issue online: 9 OCT 2011
- Version of Record online: 24 JAN 2011
- First version received November 2010 Published online in Wiley Online Library: 24 January 2011
- Autoregressive time series;
- Yule-Walker estimator;
The article considers the Yule-Walker estimator of the autoregressive coefficient based on the observed time series that contains an unknown trend function and an autoregressive error term. The trend function is estimated by means of B-splines and then subtracted from the observations. The Yule-Walker estimator is obtained from the residual sequence. Asymptotic properties of this estimator are derived. The performance of the estimator is illustrated by simulation studies and real data analysis.