On local asymptotic normality for functional autoregressive processes
We establish Local Asymptotic Normality (LAN) and Uniform Local Asymptotic Normality (ULAN) conditions for a class of function space valued autoregressive processes when the correlation operator depends on an unknown one-dimensional parameter. We then derive Hajek minimax bound, consistency, asympto...
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| Veröffentlicht in: | Journal of multivariate analysis 2016-06, Vol.148, p.120-140 |
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| container_title | Journal of multivariate analysis |
| container_volume | 148 |
| creator | Kara-Terki, Nesrine Mourid, Tahar |
| description | We establish Local Asymptotic Normality (LAN) and Uniform Local Asymptotic Normality (ULAN) conditions for a class of function space valued autoregressive processes when the correlation operator depends on an unknown one-dimensional parameter. We then derive Hajek minimax bound, consistency, asymptotic normality and efficiency of the conditional maximum likelihood estimator yielding their optimality. A simulation studies illustrate the performance of the estimators. |
| doi_str_mv | 10.1016/j.jmva.2016.02.017 |
| format | Article |
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| ispartof | Journal of multivariate analysis, 2016-06, Vol.148, p.120-140 |
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| language | eng |
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| source | Elsevier ScienceDirect Journals; Elektronische Zeitschriftenbibliothek - Frei zugängliche E-Journals |
| subjects | Asymptotic methods Correlation analysis Efficiency Functional autoregressive processes Hajek bound Local asymptotic normality Maximum likelihood estimator Maximum likelihood method Parameter estimation Regression analysis Studies Topology |
| title | On local asymptotic normality for functional autoregressive processes |
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