Local asymptotic normality of Hilbertian autoregressive processes

被引：1

作者：

Kara-Terki, Nesrine ^{[1
]}

Mourid, Tahar ^{[1
]}

机构：

[1] Univ Abou Bekr Belkaid Tlemcen, Lab Stat & Modelisat Aleatoires, Tilimsen, Algeria

来源：

COMPTES RENDUS MATHEMATIQUE | 2016年 / 354卷 / 06期

关键词：

LIKELIHOOD FUNCTION; TIME-SERIES;

D O I：

10.1016/j.crma.2016.03.006

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

We give a Local Asymptotic Normality (LAN condition) and a Uniform Local Asymptotic Normality (ULAN condition) for a class of Hilbert space valued autoregressive processes when the correlation operator depends upon an unknown one-dimensional parameter. We then derive a Hajek minimax bound, the consistency, the asymptotic normality, and the efficiency of the conditional maximum likelihood and Bayes estimators yielding their optimality. (C) 2016 Academie des sciences. Publie par Elsevier Masson SAS. Tous droits reserves.

引用

页码：634 / 638

页数：5

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