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Activity Number: 496
Type: Topic Contributed
Date/Time: Thursday, August 2, 2007 : 8:30 AM to 10:20 AM
Sponsor: IMS
Abstract - #309017
Title: Estimating the Innovation Distribution in Nonparametric Autoregression
Author(s): Anton Schick*+ and Ursula Mueller and Wolfgang Wefelmeyer
Companies: Binghamton University and Texas A&M University and Univeristaet zu Koeln
Address: 4032 Marietta Dr, Vestal, NY, 13850,
Keywords: Residual-based empirical distribution function ; local linear smoother ; Bahadur representation
Abstract:

We prove a Bahadur representation for a residual-based estimator of the innovation distribution function in a nonparametric autoregressive model. The residuals are based on a local linear smoother for the autoregression function. Our result implies a functional central limit theorem for the residual-based estimator.

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Revised September, 2007